Yuck! No, it is contaminated by whatever is in your air. The entire volume of room air is run through the dehumidifier at least every hour or so. The coils are designed to maximize turbulence, so much of the dust is deposited onto the water, which eventually drains into the bucket. If your air is free of soluble dirt, then filtering the water should give you back pretty clean water. If the area being dehumidified is dirty, then even filtering may not help.
Jon