Allow me to make a save for this one (while it's not explained in-story).
Anneza is clearly able to survive both vacuum and air environments. So it's not hard to assume that she has some sort of biological system that switches her respiratory system and a plethora of other things while in a vacuum while at the same time allowing her to breathe and speak more normally while in an air environment. Her natural environment is actually the vacuum of space (she herself works in a field of zero g), and, seeing as the Sun creates "myths", she's actually much better as an "ET" myth - seeing as she CAN survive non-M-class planets and other such environments.
The biology details aren't impossible to devise; we can take anaerobes and go from there.
