I’m pretty sure it’s actually in space - Finn’s wearing some sort of breathing apparatus.
Well, it wouldn’t be the first time SW ignored physics and just slapped some mask on someone who should technically be in a vacuum; https://youtu.be/a1Om-662nUg?t=62
(PS. not that I’m complaining, if anything I think SW is more interesting when it emphasizes story and/or action than scientific accuracy.)
On the other hand, as RogueLeader pointed out, there has been SW content recently dealing with people being sucked into space in a more sci-fi-like manner; https://www.youtube.com/watch?v=JZTZQgBKGKg