Let me re-phrase the question. Let's ignore, for a moment, the fact that deadly things like lack of air and radiation might kill me fast. If I jump out of a spaceship without the protection of a space suit, but with a supply of air (you can call it space scuba diving), what will happen? Do I chill slowly, freeze fast, or fry?
This is a complicated question.
Let us say you have a bottle of air, and a face mask that seals well. The next thing I have to ask is - how quickly do you open the airlock door? How quickly the pressure changes matters.
So long as you don't decompress "explosively", and can keep air and pressure in your lungs, you survive the first minutes of exposure to vacuum. You may get a mild case of "the bends", but that's about all. No biggie, nothing there that'll kill you, or wouldn't heal if you returned to pressure.
So, you are still alive. Your metabolism is still running, and your body is still generating new heat. But your body is also radiating away heat in the infrared. The question is then whether one of those processes is stronger than the other. It is not clear to me that one is so dominant that it'll outright kill you. If one of those processes is really dominant, eventually you freeze or die of heat stroke. But otherwise, given an air, water, and food supply, you may survive close to indefinitely.
But now we get to that "radiation" thing. All sunlight is radiation. If your basic question is whether being close to a star makes you hotter, then you're talking about having sunlight hit you - and you don't get to filter it!
If you are around Earth's orbit, massive sunburn sets in within minutes. Massive as in worse than the worst you ever hear about. Closer in to the Sun, and the sunburn will be near instantaneous. Out by Pluto, it'd take a lot longer.
As for outright temperature... well, the planet Mercury has no substantial atmosphere to hold or distribute heat. Surface temperatures range from 800 °F where the sun is directly overhead, to near -300 °F in the bottoms of craters near the poles where the sun never shines.
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