And why doesn't he ever revert back to Bruce Banner?

No, he doesn't breathe in space.  During the Cosmic Spidey storyline, Parker punches him clear into orbit.  While up there, Grey Hulk acknowledges that he won't need to take another breath for a very long time, but the greater danger was reverting to banner in a vacuum under the sun's exposure.
 
Banner has slowly developed greater and greater control over his transformations.  The circumstance of being Banner while in space has simply, and fortunately, never occurred.

It could be like Superman who holds his breath for a long time.