Unfortunately, asteroid colonies require code changes by MM.
You can always build a Starbase in an asteroid belt, (but storms are even better
), and with the pirate mentality, you don't have to have any planets - you just use captured ships by scrapping or retrofitting.
Most of my bases happen to be located on the system's star, if there is no good storm to put it in, and the central location makes it easier to attack anything in the system from there.