"Space" technically includes everything in existence, since the universe is made of space-time, but no it is not completely filled with water. The water came from inside the suit's cooling system which is necessary since without air in space heat can only be radiated away via infrared radiation which doesn't work well and would overheat the person quickly. Bubbles escaping from space suits could be various liquids leaking and immediately boiling as they enter the zero pressure vacuum of space, but I've never seen these videos so this is just an educated guess.

Also, gravity and the magnetic field from our planet prevent the atmosphere from being stripped away by air pressure and solar winds. The further you get from the center of mass of the planet, the thinner the atmosphere until you eventually get to a low enough air pressure that it becomes a vacuum.