Den officiella linjen från Vorlons är att Koshs mötesdräkt gör det möjligt för honom att flytta runt stationen med sin skyddande atmosfär inuti den. De är Vorlon tech, och därmed nära magiska i naturen. Även om det inte uttryckligen anges, kan de lätt konvertera atmosfären i flygningen.
Enorm Bablyon 5 spoilers:
The Vorlon encounter suits are a ruse, and the evidence suggests that the special atmosphere is also a ruse. In the episode "The Fall of Night", Kosh emerges from his encounter suit to catch a falling Captain Sheridan who would otherwise die. The different races perceive Kosh differently, but he appears slight in build (much smaller than the encounter suit, it seems) and to humans resembles an angel. (It is not clear whether the onlookers at Sheridan's rescue see Kosh's actual shape, but the glimpses seen by the different races all appear to have the same build, just different facial features.)
Mer
Kosh is able to survive outside of the encounter suit and breathe an oxygen atmosphere. It is also the case that in "Babylon Squared" Valen is greeted by two Vorlons outside their encounter suits on Babylon 4. Kosh claims to have been fatigued after Sheridan's rescue, but it is not clear whether this is true, or if it is due to the atmosphere. It may be that what tired him was the mental effort of the apparent psychic projection to so many observers. This explanation is consistent with remarks by JMS as explained in this question about Vorlon appearance. The fact that many of the residents recognise Vorlons from their own myths and legends suggests that they are able to survive in a wide variety of atmospheres.
Mer
It is likely that the real reason for the encounter suits and non-Oxygen atmosphere is the same - to preserve Vorlon privacy. They wished to make sure that it would be as difficult as possible for the majority of races on Babylon 5 to interact with them, in order to keep interactions to a minimum. Similarly, the encounter suit appears to be shaped very differently from the Vorlon physiology revealed in Kosh's rescue. Both appear to be measures to allow the Vorlons to interact with the station's inhabitants while revealing as little as possible about themselves.
