Please excuse the misquote from another film but reading this question has inspired me to ask if the Grid simulates air and the quote is kind of related as both movies share a similar concept of a simulated world within the real world.
There are several pointers to say that it does: the light jets have wings and execute aerial maneuvers, Sam appears to be breathing heavily after exertion, and Sam's blood is bright red when he bleeds.
However all those could be seen as part of the individual 'programming' of the vehicles or programs/users rather than part of the environment.
So does the Grid simulate an environment with air, do the individual programs simulate the effects of air, or is there some other explanation?