Considering that Orks are primarily fungal in their biology I'm not entirely sure that they even breathe in the first place.
Fungus is definitely an aerobic organism. Especially Moss and mushrooms like the Orks seem to share similarities with. They breathe more than we do. The thing is they breathe from all over their body, so they get more oxygen than animals do, and need less to survive, meaning they often kill things they grow on and steal air from the area, especially in the off-chance that Ork fungus breathes CO2 instead like a regular fungus (which isn't really an off-chance, it's pretty common among plants, but these are Orks). But an Ork's physiology is so durable that I'm pretty certain they can survive asphyxiation and vacuum environments for extended periods. In fact I believe we have a short story of a Freeboota Warlord catapulting himself through space un-protected on our very website and he was fine. And then another short story about Orks who were frozen when their ship lost environment control came right back to life when it came back online, right as a salvage crew was boarding.
Yes, you're right. There's been multiple occassions of Orks in "Vacuum environment" breathing. The Warboss you point out, yes. I remember a story of some Freebootaz that shot a large Tyranid ship with harpoons. Once the Tyranids responded, by sending Hormagaunts and what not to run across the chains and kill the Orks, the Orks simply started shooting at them. (This could be exterior guns on the ship and what not, but I'd believe they were a couple of Flash Gitz, raining down fire across the Chain.) In the same story with the Warboss, they also mention protective gear being worn, yet the Ork Warboss dismisses the use of it. Maybe has a point.
Maybe not. They might just breathe through their skin. But they may have lungs to help with shouting. Who knows.