This creature appears only in The First Guy To Ever Go To Prison Adspace after it was trapped in the Adstronaut's airlock for breaking into his ship and trying to lay an egg in the dude's chest.
It is implied he has been to the moon seeing how he agrees with the Adstronaut that the moon has great wi-fi. He does want to get out, but once the Adstronaut agrees to take him to The Escape Game on the condition the creature doesn't put an egg in his chest, the Airlock Alien honestly admits he'll probably try to do it. The Adstronaut's final words in the episode "He's gonna try to put an egg in my chest." suggest that they still might go, although how they will end up in The Escape Game is unclear, since their website doesn't mention any space locations (I assume, I didn't bother checking).
Since the alien hasn't appeared in any videos since, he is most likely still stuck in the Airlock or has been moved to a secure holding room on the astronaut's ship/station.