Apparently they breathe by magic.

Fun fact: the sense of suffocation comes from Co2 buildup in the bloodstream.
 
However, in a vacuum, while there’s no oxygen for your lungs to absorb, Co2 can outgass through the lungs, I think (I know oxygen can, so it goes to reason that Co2 can as well), so Co2 wouldn’t build up in your bloodstream creating the extreme panic/sense of suffocation :q
 
You would, though, still of course pass out and all as per usual…
 
Also, Fluttershy runs into the famed, deep Desmond the Moon Bear conundrum.
 
“…How did I get here?”  
(Probably because someone didn’t add struts. Even Kerbals wear launch/entry suits, though!)
 
@Crayv  
“And there’s no - FWOOSH”  
You lip “air”, but no sound comes out XD
 
@Over4000  
Jebediah is absolutely fearless, but the one thing that will terrify him… Is if you tell him you didn’t add struts.
 
Also, try flying that monster in realism overhaul, foo. Or with a space program where you actually have to pay for the thing XD
 
Also, that’s no biggie all the way up to Duna… The EVA jetpack has enough thrust to fly up to the hatch :q

What about constructing more pylons?

KSP JOKE IS FUNNY, MORE STRUTS!  
 
 

@DashVader  
Ever walk outside and feel the sun’s heat as hot even though the air is cold? Yeah.

@Cirrus Light  
Technically, any heat we feel from the sun is being conducted by the air.

@Background Pony #82CA  
Actually, temperature is a bit of a funny concept in space. Here on Earth, we can measure the temperature of the air, and we call that “the temperature.” In space, there is no air, though…
 
To understand what’d happen in space, needs some explanation:
 
First, heat transfers in 2 fundamental ways;  

 
So thrown in a vacuum, first off, the oil on your skin and saliva in your mouth will boil off, cooling you off. This might make you kind of cold. Don’t hold your breath - if you try to, then the air exploding out of your lungs could cause them to collapse. So breathe out to prevent that so that rescue is at least possible.
 
(There’s a common misconception that your blood would boil - I’ve even seen some astronauts incorrectly write this. In reality, though, your skin has enough structural strength to keep pressure inside your veins high enough to keep the nitrogen from boiling out of solution)
 
Yes, the lack of ozone blocking UV rays mean some really nasty sunburns. But that won’t be such a big deal - you’ll suffocate first. Normally choking out takes 30-60 seconds, but in this case, with a complete lack of air, instead of oxygen absorbing into the lungs, or nothing crossing the lung-air barrier, oxygen will actually flow out, so it’ll only take about 15 to 20 seconds to pass out.
 
Brain damage and death roll in at a few minutes. Nobody really knows exactly where, and it probably depends a lot on the individuals’ health, anyways.
 

 
If the body could keep producing heat, then it’d overheat for lack of air cooling it off. But your body would shutdown and die rather quickly, so then it’d take many hours, but it’d eventually begin to freeze.
 
(Also, sorry if something’s terribly incoherent, here. I’m typing as I’m talking on Skype, so I may have derped in writing this)

Um…shouldn’t we also be concerned about her freezing to death in the near-absolute zero temperatures or having her DNA fried by the intense radiation?

@DashVader  
500 years later we’ll still be using duct tape

HERESY! Adding more struts always helps! They’re like duct tape for space!*
 
 
*Actually, in real-life space, they use actual duct tape. All manned spacecraft carry it to secure things in the cabin, and on Apollo 16, they had to use ordinary duct tape to fix the lunar rover. Even in the virtually non-existant atmosphere and extreme temperatures, it still worked perfectly.

Well, adding more struts COULD help, by keeping ponies out of situations where they’ll be in space unprotected in the first place :q
 
Though she should be wearing a launch and entry suit to avoid this kind of thing no matter what :q
 

“Adding more struts will not help.”
 
Lies, damned lies.

Human’s can’t either.  
What’s the difference?

No more struts? heresy!

Now why do they call it an airlock? There’s no lock.. and there’s no <gasp> air.

Adding struts WILL keep them together, though. >>

@Background Pony #DF4C  
We’ll need about 50 boosters and 500 struts pronto.

@Gecko
 
What is this now? Derpy Space Program?

@BigMax  
You better hurry…  

@TLATopHat  
Genius.

Bat Ponies can breathe in space.

Really?! o_O  
Damn, I must call Derpy back!

and yet Luna is Princess of the Moon. You might need to add an asterisk to this one.

@Aquasplash  
What if she needs more struts… AND boosters!?

TS: what’s she breathing?  
PP: Air?  
TS: there’s no air in space  
PP: there’s an air & space museum