Any time a Blockhead's head is in space, its air bar will appear and begin decreasing. There is also an ongoing chance of the Blockhead taking damage much as it would in cold weather. Wearing a fur coat will reduce the chance of the latter.
What most people call "space" is the rarefied layers or vacuum above the Earth's breathable atmosphere. While it can't be breathed, it isn't actually cold because vacuum doesn't conduct heat. The lack of air pressure can cause liquids to boil at lower temperatures, which may draw heat from objects they're touching. Yet objects in space can overheat more easily than they can freeze.