In which scripture it is mentioned that there is no atmosphere outside the earth?
Here is what this chapter of the Bhagavatam says:
The sun globe, which is a source of heat, extends for 10,000 yojanas [80,000 miles]. The moon extends for 20,000 yojanas [160,000 miles], and Rāhu extends for 30,000 yojanas [240,000 miles].... Below Rāhu by 10,000 yojanas [80,000 miles] are the planets known as Siddhaloka, Cāraṇaloka and Vidyādhara-loka. Beneath Vidyādhara-loka, Cāraṇaloka and Siddhaloka, in the sky called antarikṣa, are the places of enjoyment for the Yakṣas, Rākṣasas, Piśācas, ghosts and so on. Antarikṣa extends as far as the wind blows and the clouds float in the sky. Above this there is no more air. Below the abodes of the Yakṣas and Rākṣasas by a distance of 100 yojanas [800 miles] is the planet earth. Its upper limits extend as high as swans, hawks, eagles and similar large birds can fly.
So it says that air extends up to Antariksha, but not beyond that.
EDIT: Here's the Sanskrit verse that talks about the limit of air:
ततो ’धस्ताद् यक्ष-रक्षः-पिशाच-प्रेत-भूत-गणानां विहाराजिरम् अन्तरिक्षं यावद् वायुः प्रवाति यावन् मेघा उपलभ्यन्ते.
tato ’dhastād yakṣa-rakṣaḥ-piśāca-preta-bhūta-gaṇānāṁ vihārājiram antarikṣaṁ yāvad vāyuḥ pravāti yāvan meghā upalabhyante.
Yes, Mahabharata says that there is a region above the atmosphere.
Meanwhile Suka, proceeding through that region of the firmament that is above the region of the wind displayed his Yoga-prowess and identified with Brahma.
Mahabharata Santi Parva Section CCCXXXIV