hmm, actually, if you look at the ending video at around :25, there's a little bit of blue at the horizon, which would only be there if the planet had an atmosphere. Not to mention, the colonists were breathing something, no atmosphere means the planet's surface exists in vacuum.
If there wasn't a sun (i.e., if the planet was dark all the time), there couldn't be water, slime, or any liquid at all, since any liquid would freeze without a sun. The flemoids would be flemsicles!
Not to mention, the captives would be frozen too. Also, why would they build windows in E1M4 and grow plants there if there was no sunlight?
The terrain of Bazoik (specifically in the exterior of E1M4 in Chex 3) seems to be that of a desert. The parched rock floor and lack of vegetation suggest low water levels.
I'd consider that pretty reasonable proof that E1 takes place in a desert, with a sun and atmosphere. The sun has to rise sometime
EDIT - I didn't think of all this before I made it, I had to look a little more carefully to make sure I didn't go against something already established. I didn't, yay!