As already mentioned, the Bayer filter is part of the CMOS sensor itself. It's not a separate part that's tacked on near the end of the manufacturing process.
There is, however, a separate filter in front of the sensor on pretty much every DSLR. This is a IR cut-off filter. Naked CMOS sensors are very sensitive into the IR spectrum. This high-pass IR filter prevents deep red and IR from overwhelming the resulting image, producing a balanced red against the green and blue end of the visible spectrum.
There are several cases where one would want to modify their DSLR and have this filter removed. The primary users of this method are astrophotographers who wish to use a much cheaper DSLR on their telescopes vs. a very expensive purpose-made camera. There are a few small companies such as Hutech which can perform this service under warranty.
Nebulas and stars in particular emit light (human-visible and not) in a variety of specific wavelengths. These particular wavelengths are produced by ionized elements in the star or nebula complex. In your run-of-the-mill nebula, copious amounts of Hydrogen-alpha and doubly-ionized Oxygen tend to produce much of the light. H-alpha's emission line is deep in to the red spectrum, which the IR cut filter on DSLRs dutifully blocks from reaching the sensor. Removing this filter lets the DSLR capture additional light and detail from the nebula... stuff you wouldn't get with a stock DSLR.
If you take a stock DSLR and try to image (for example) the Horsehead Nebula, you're not going to get far because the thing emits almost entirely in the H-alpha band. Put on a camera that doesn't cut the deep red, and you'll get a result that's closer to what you'd expect.
There is a trade-off to doing this mod, of course... in that you're effectively turning your DSLR into a IR camera, and if you want it to be close to normal again, you'll need to put a IR filter on your lens.