I found this statement on some Starbound Wiki:
Another way around this is to dig downwards from spawn and find an underground tunnel. This tunnel will most likely hold oxygen, but be sure to close it up behind you, else all of the oxygen will escape into space and leave you no better than where you started.
This sounds really cool; the concept of air actually being inside caverns and leaking out, provided that that quotation is even correct, which I couldn't verify.
My question is, can you create a room filled with air? I have some airlock door schematics, maybe they're for that purpose?