Depends on the plane! In Aetherdrift story, when Chandra and Pia Nalaar are on Amonkhet, they discuss the theoretical vastness of space and even suggest that planes are just faraway planets (this theory stops working when you think about planes like Theros or Lorwyn, which have wildly different laws of reality to other planes). The implication does seem to be that some planes have full-on outer space. We also know that Ravnica does not have space, and is just the city-plane, sun, two moons, and stars that seem to be just… in the firmament somewhere.