His [armor][1]armor allows him survive absolute zero :
The Star-Lord Armor allows the wearer to survive in the absolute zero, Vaccum of space. The suit is able to travel through space under it's own power. The suit provides the wearer a personal energy shield for protection.
Granted it looks quite different to how he looks in the movie. And it could be argued that in the movie, he's only wearing a trench coat and trousers...
As DevSolar points out in the comments:
It could also be argued that the space around the mine -- which itself is a mostly hollow structure that is unlikely to hold an atmosphere by natural gravity alone -- isn't a complete vacuum. The "condensation" effect on skin and clothing would also be explainable in a hand-wavey fashion by there being "a little" atmosphere around.
We don't really know the conditions Quill was in, or really enough about Quill himsef to know what he could / could not handle. [1]: http://marvel.wikia.com/Star-Lord_Armor
