The gas itself is exerting the pressure, as seen from a macroscopic scale. What's really happening is all the little gas molecules are moving about randomly, bouncing off each other, etc. There is almost no matter in the surrounding volume to resist the expansion, the 'bubble' will spread out rather quickly.
Think of the air molecules as little balls in a room, bouncing around. Now, if you removed most of the energy loss from collisions, gravity, and air resistance, the balls would mimic the behavior of air molecules (eg, toss a ball at the wall, it will bounce back with nearly the same speed, bounce off the opposite wall, and continue back and forth for a length of time). Now, if you think of the same thing only take away all the walls, you will have the situation of escaped gas in space. The only thing that might keep molecules in the same volume are the molecules themselves (eg, molecule in the 'center' starts moving out, but hits another molecule, and is sent back towards the center). But the probability of such collisions are small, so the gas spreads out.
The reason that there can be a concentration of air around the Earth is the gravity holding it down. So on Earth, the forces of gravity act like a spherical 'wall' containing the gas molecules.
Naturally occuring gasses in space are due to gasses being lost by planets and stars. So with the above example, Earth has a 'wall' blocking off escaped gasses, but it has 'holes', where any molecule gaining enough force can break through and escape into space. Same with stars, only molecules are helped along by the fact that stars are really just explosions being held in by gravity.
Nebulae are gas clouds, yes, but they also contain several stars inside. The combined forces of the gravity of these stars and of the cloud itself allows it to stay together. Theoretically, there could be an oxygen nebula, but it is highly improbable that it would consist of largely oxygen. There would also be hydrogen, helium, lithium, berelium, boron, carbon, etc, etc. The gasses would also not be at the correct pressure to breathe, if that's what you're wondering.
--edit: a much longer-winded Version of what they said...
[ January 28, 2004, 04:04: Message edited by: Will ]