I find it crazy to see NPC's wondering outside were there is no breathable air. At fist I would guess that some things can breathe but when you see a human NPC doing it and you can't, it breaks the immersion. I would not mind not seeing some NPC's outside on worlds at which they can't breathe or wearing something that can help them breathe.
I always assumed this was caused by the "loading" algorithm spawning the NPC inside a wall and thus bouncing them outside. It happens a lot to the player character.
Why should they be like you with the same anatomy... It's good that the devs concentrate on more serious things instead of making 2 versions of all NPCs, ones with space suits and ones without...