In a space station, everyone else can hear you. If you’re outside, you have your suit radios. If you somehow don’t have a suit, there’s still measurable, tenuous atmosphere at all but the highest orbits—more medium yet, if you still have air in your lungs. Of course, in such a case, you’re unconscious and rapidly dead, and so aren’t screaming much anyway.
Yet, in my case, the sudden and unexpected reason turned out to be that there was no one to begin with at all.