> Do we have example of naturally ocurring space object with such low density?
Depends what you mean by "object. Assuming the mass is mostly protons, that corresponds to a density of ~3e19 particles per cc. In comparison, molecular clouds in the galaxy have regions which are have densities as low as 1e2 particles per cc. And the hot X-ray emitting gas in clusters can be less than 1 particle per cc. There are things which span the gap, including disks around stars.