Far, far away from the Earth, there is a nebula. An enormous cloud made of 78% nitrogen, 20% oxygen and 2% other non-lethal materials. These gases swirl around a star, and the pressure around it is more or less 105 pascals. This star has several planets around it. In some of those planes, life sprouts. In a few, intelligent civilizations rise. They, each in their own way, develop flying machines. With these wonderful ship-like machines they can travel between worlds (no need to wear a helmet). The interplanetary sailors even tell tales about monstrous whales flying through the system.
In this world that only exist on my imagination, and now in yours, how many of those things are actually possible?
My main concern in this world is:
Could a star exist with this cloud similar to earth atmosphere around it where a person could breathe without much effort?
Near a planet the atmosphere could be thicker meanwhile in the interplanetary space could be a thinner atmosphere like in a high mountain. This cloud can be as big as you want, but the minimum size should be at least one AU. Because a star and a planet like Earth orbiting it should fit inside the cloud.
BONUS I: Assuming this system is possible; could a ship (like a zeppelin) navigate through worlds? The technology of those civilizations is between century XVIII and XIX.
BONUS II: Could it be possible for those worlds to have something like a continuous electromagnetic-pulse preventing them from develop electronic devices and forcing them to be in an eternal middle ages state? It may come from the star, or radiation from the nebula itself.