I can prove that there is no $C^2$ embedding of the real projective plane into $\mathbb{R}^3$. In fact, every closed $C^2$ surface of $\mathbb{R}^3$ is orientable (probably this is true for the $C^1$ category as well).
Is there a topological embedding of $\mathbb{R} \mathbb{P}^2$ into $\mathbb{R}^3$?
An answer in this question tells to use the Alexander Duality Theorem, but I don't know how.