Forget space whales, forget star-trek-style creatures like the crystal entity, forget space creatures so massive that they have their gravity to hold on to an atmosphere around them. The issue with all of those living things is how they started to evolve in the first place. (My question is in the last paragraph)
Instead, go to Europa. Europa, a moon of Jupiter, is a moon with an ocean under a thick ice crust. Tidal forces between it and the other moons often break the ice, spewing out water with its organic content. Evaporating water deposits organic matter, be it of geochemical or biological origin, giving it the tell-tale orange stripes along the ice cracks. Now, what if some of the life carried to the surface manages to survive in the vacuum of space, evolving to live its entire life scouring the organic matter left by the evaporating water instead of floating aimlessly in space?
Where that life may come from
Life under the ice crust, in the liquid ocean underneath, is relatively in a safe place. However, the temperature and pressure right at the ice crust's bottom edge correspond to the water phase diagram's solid/liquid boundary. So organisms holding on to the ice "ceiling" must evolve to use anti-freeze compounds to prevent freezing over. Some of those organisms may be unfortunate to be brought up to the surface when a crack forms in the ice crust above. The imminent danger is the water in their cells boiling before cooling down, the second danger is lack of oxygen, and the third is radiation. No water, no oxygen, and no protection from radiation are why we don't see those coveted "space whales" that would turn any zoo into a multi-million dollar business.
How this life may evolve
First, I would say that this life would stay on the outer surface of the ice crust. Any organism ejected at escape velocity and flung out into space is likely to die.
FOOD - The surface would provide food in the form of minerals and organic matter deposited by the water evaporating through the cracks.
OXYGEN - To have sufficient oxygen, it is possible to assume that the first organisms surviving on the surface are photosynthetic and are capable of scrubbing water molecules from the ice surface, splitting the water molecules, and extracting oxygen. Europa orbits beyond the frost line, so the organisms do not need to worry about their water evaporating (unlike the hotter water that spawns out through the Geysers), so they must use an antifreeze that keeps the water in a liquid or gelatinous phase which still allows chemical processes to take place.
RADIATION - Surface radiation on Europa is too high for humans, but it is possible to assume that elsewhere a Europa-like moon or its parent planet has a stronger magnetic field offering some protection. Tardigrades, for instance, are unique in having the Dsup protein which offers substantial protection from radiation, a solution that may work on the hostile surface of Europa.
The question: KEEPING WATER LIQUID IN A VACUUM - Here comes the hard part. At first, I thought about Glycerol with a vapor pressure of just 0.4 Pa, but its freezing point is too high, being 17.8 °C (64.0 °F). I did not find if it forms a eutectic solution with water (the mix having a freezing point lower than that of either water or Glycerol) at any given rate. So I must find an anti-freeze that keeps liquid water stable in a vacuum and at the cold temperature on the surface of Europa. Is there such antifreeze? Since life begins as single-celled and multicellular organisms come later, pressure containment via strong membranes is not the solution here. You may suggest an anti-freeze that works at warmer temperatures closer to the frost line without crossing it.