I made a joke about this on the Discord last year. Back then, I said it would be fun. Let's elaborate a little on that.

Pokemon has lots of advanced technology. Internet access while at any point in the globe, holograms, fossil restoration, and the ubiquitous Poke Ball are all examples of things that just aren't possible in the present. I would say Pokemon is a work of science fiction, and space travel is a common trope in that category of story. Even so, the creation of casual space travel is a pretty big jump. So big it would fundamentally change how Pokemon works, unless every planet reachable from the Pokemon World in 5 or so years travel time is barren and lifeless. As such, a Pokemon game set in space, assuming it follows the usual structure of "8 gyms, some number of towns, league with some variation of final showdown, villainous team for fun", probably needs to be separated from other stories by a large time skip. This would leave opportunities available to tell non-space travel affected stories while allowing the space travel story to embrace its interstellar setting to its fullest extent.

With that preamble out of the way, yeah, a Pokemon game set in space would be neat. Might be harder to place natural barriers in the way of the player out in the deep black void, but some creativity and a little Hollywood magic could get asteroid fields, black holes, solar flares, and the like to work. Either that or all of the barriers could be based on the planets, and strong wild Pokemon could do the progress impediment for the outer space segments. (I think the answer of having to upgrade a rocket/Pokemon in order to travel farther from a given starting point is a little boring and not kinetic enough for this brand.)

Naturally, a Pokemon take on space travel is going to be a "faster than light with no time dilation" version, mostly because dealing with significant time passing in game just for moving around adds complicated logistics. No big loss, because there are plenty of other places to tell stories using that element. It's just that Pokemon can't if it is a standard Pokemon story.

There is a spectrum of how much focus each planet gets, and I would like to see Pokemon's answer to that question. There could be multiple visitable towns and cities on each planet, or it could be abstracted out to a single notable settlement per location in service of getting more planets in the game. Of course, all astronomical bodies would be fair game: imagine the mine location being an asteroid mine instead of a regular old Earth mine, seeing Fairy type Pokemon literally live on the Moon, or the fire aligned city being a Dyson Sphere! (Dyson Spheres are theoretical structures that surround a star and gather most of the star's solar radiation. Far from practical, but we're in sci-fi land and anything goes!)

(How do Moonlight and Moonblast work when you are standing on the Moon? Are those moves just uber-powerful? Would they have to be removed from the game for Pokemon safety?)

What happens if a battle is initiated in outer space, without gravity? Do moves like Sky Drop still work, by throwing the target into an arbitrary asteroid? What of Seismic Toss? Maybe outer space should be treated like the Sky Battles from X and Y, changing how certain moves work to accommodate the zero-G environment. Either that or not allow them in the game, but making moves work differently is more fun. There are a whole bunch of other moves that shouldn't work in space, but it's probably better to ignore those. Fire may require oxygen. but Fire-type moves are kind of important to the type chart. Handwave it away as magic and run away before the critics notice.

How will trainers get from planet to planet? Sure, Pokemon has teleportation technology, and rockets are established to exist, but this is Pokemon. The impulse to make space travel based on riding a Pokemon or riding within a Pokemon is very tempting. Would there be specific species for exploring the stars, or could we use gear to retrofit our old friends for space capabilities? I know I'd be first in line if I could upgrade my Wailord from a Float Whale Pokemon to a Space Whale Pokemon! Does Space Style: Gengar go from Holowear to real clothing now, for Trainers and Pokemon alike? Should helmets be made mandatory or should The Pokemon Company appease the masses demanding hatless clothing options by making headgear optional? This sounds silly, but Pokemon isn't grounded in logic. Make up a way for Trainers to breathe like a conveniently invisible oxygen emitter and people will allow it. (Steal Oxy-Chew from Ducktales.)

And of course, the most important reason space would be an interesting setting is that it justifies bringing back Ash Ketchum to compete against aliens.