If you have one it is on the manifold top, right side. It is a small brass cock just like the compression relief/cylinder drain valve. Look close, it can be hard to see and operate.
Check out this old thread, several pages long but worth reading to study up on the pony motor top cover vents, pics of the early covers that originally didn't have them and also the later ones that did, plus the pros/cons of drilling and tapping the early covers to accommodate a vent petcock.
http://www.acmoc.org/bb/showthread.php?19988-D2-Pony-Motor-over-heating
By the way, 5J1404SP is a 1939 model.
My engine is too early to have any kind of vent. I noted the instructions for adding one (invaluable! Thanks) but I don't seem to have any heating problems. Is it worth taking a chance on trying to tap a thin casting just to have one? I have a 1200 Watt pump type heater on mine, so I thoroughly warm it up with that before I try to start it. Maybe that pumps the air out somehow. I think my cooling system is pretty clean. My pony runs perfect, starts instantly, does not leak oil, but does have crankshaft end play, so I try to spare it as much as possible.
If the Pony isn't overheating, then I would not worry about trying to install the Vent. It only seems to be there to assist in filling the Pony.