Some studies have shown that the heavy metal emissions (HMEs) emitted from diesel engines can seriously threaten human health. HMEs are mainly related to the content of heavy metal ions in diesel fuel. Therefore, in order to reduce HMEs from diesel engines, a nano-fiber membrane filtration technology for diesel fuel was investigated. Herein, coal fly ash (CFA) from coal-fired power plants combined with polyvinyl alcohol (PVA) was successfully fabricated into nano-fibrous membranes using green electrospinning technology. In order to evaluate the adsorption properties, various hybrid membranes with different mixing ratios (PVA/CFA = 10/0, 10/1, 10/3, 10/5, and 10/7 by weight) were fabricated. The results show that eight metal ions with different concentrations are found in the diesel fuel, including Pb, Cu, Zn, Al, Fe, Cr, Ba, and Ni. All PVA/FA membranes have different adsorption capacities for metal ions, following the order: Cu > Fe > Pb > Al > Zn > Cr > Ba > Ni. In addition, the adsorption capacity of CFA3 (PVA/CFA = 10/3) is the largest. The super lipophilicity of the PVA/FA membranes also provide more adsorption sites for the contact of HMs with the membranes. The above research results provide guidance for development of ultra-fine filters in the future.