Well, like somebody said, myth and fact are often the same thing. Bear in mind that there is no such thing as outer space or a vacuum in the world of the Elder Scrolls -- there are the Divines, which we perceive as planets, and then there is Oblivion/the Princes, which we perceive as a void surrounding the planets and stars (holes through which Aedra escaped being svcked into the creation along with the Sun, Magnus). Each god-planet is infinite, as is the Oblivion surrounding it; they are infinities upon infinities upon infinities wrapped around one another inexorably, which is obviously impossible to comprehend entirely and so is perceived my mortals as the night sky.
So there probably is air on Secunda, or Masser, or whatever moon you're doing. After all, all it is is half the body of a dead god.
By the way, does the infinite-size thing apply to the moons? I think so but I may be wrong.
There is a massive vacum, The areas inbetween the 8 spokes of the wheel and the 16 gaps, as while as aurbis. Oblivion is a void, but when you reach a daedric plane you are entering a "planet"
Infinite size does apply to the moon, as it does to all of the Aedric/Daecric realms. Nirn is finite because it was infinities tearing finite peices of themselves off.
Some ingame text I can't fin currently describes how one infinity can be bigger than another.