While zombies are extremely scientifically inaccurate, let's assume all is fine in the science world and answer the question.
Are they immune to vacuum?
No. Like any other object with pressurized interior they are not immune to vacuum. However going by the popular lore and assuming that they will have a much harder skin and won't need many of their necessary organs and large amounts of their body fluid like blood, they can substantially survive much longer than an average human in vacuum. normally, a human would bleed rapidly until their brain is drained of oxygen or any other major organ fails and tears under pressure and then die (if they do not die from intense pain). A zombie would take much longer to die because apparently they can operate with only small amounts of blood. They will still die of a similar cause (since their brain seems to be the only essential part of their body) it'll just take much longer to completely drain the zombie of its blood.