well, some degree of oxygen must be there, i doubt there are many stuff in the organic world that can generate an absolute vacuum.
Besides Steam cooking doesn't necessarily mean "with steam" but with heat radiation, you know like when you are in a hot place and even though you aren't burning by touching the floor and stuff, you still feel hot because of the heat wave?
Something like that, basically the baby yukkuri was heated to death without roasting or frying it.
The steaming process is not the problem here, the problem is that in order for fire to keep burning it needs constant feed of oxygen which is i doubt would be there inside it