I have assumed that fairies are not quite physical beings in the first place. They are closer to a spiritual being that is somewhat tangible on the regular world around the Hylians. Therefore things that would effect the body of a regular Hylian would not effect the fairies at all because they are not quite physical enough to be harmed by heat or really require air for breathing. This fits with their role in mythology where fairies were actually a type of spiritual being who were not harmed by physical restraints. Many actually did do things like live within lakes but could wonder around in the air as well showing that they are not restricted as most normal beings in the world. There were a lot of things written about them describing their abilities hundreds of years ago.
These Siths or Fairies they call Sleagh Maith or the Good People...are said to be of middle nature between Man and Angel, as were Daemons thought to be of old; of intelligent fluidous Spirits, and light changeable bodies (lyke those called Astral) somewhat of the nature of a condensed cloud, and best seen in twilight. These bodies be so pliable through the sublety of Spirits that agitate them, that they can make them appear or disappear at pleasure
http://en.wikipedia.org/wiki/Fairy#Characteristics
This works with the Fairies of Zelda since they seem to randomly appear and disappear in various locations. The fairies of OoT are not quite as physical nor do they seem to have humanoid bodies most of the time, although debated. The great fairies of MM could be broken down in to smaller parts and reassembled and that did not truly harm them either. Showing that they are possibly not physical at all but being made of magic or energy, something greater than a spirit that has the ability to interact with the physical world.
Navi makes a few strange hints about her more spiritual nature later in the game when she hears the voices of the spirits within the shadow temple.
I can hear the spirits whispering
in this room...
"Look for the eye of truth..."
That's what they are saying!
Midna I believe is in a similar position as a character that is less physical and more spiritual. So obstacles that would physically affect someone would not affect er as much or at all. It was already shown early in the game that Hylians caught within the twilight were transformed into spirits.
Twilight covered Hyrule like a shroud, and without light, the people became as spirits. Within the twilight, they live on, unaware that they have passed into spirit forms... All the people know now is fear... Fear of a nameless evil...
I do not see why the Twili species would not be any different to the Hylians at first under these effects. It was also said that the Twili eventually adapted to the twili realm.
"What do you think happened to the magic wielders who tried to rule the Sacred Realm? They were banished. They were chased across the sacred lands of Hyrule and driven into another realm by the goddesses. It was another world entirely... The antithesis of Hyrule, where the sun shines bright. Its denizens became shadows that could not mingle with the light. Eventually, most came to call it the Twilight Realm, and from it, none could return to the world of light..." — Midna
Midna stated that they become as shadows, much like how the Hylians became spirits. Midna several times in the game displays those shadow traits. From molding herself into Link's shadow in the day, to doing things like floating, and teleporting, she does not appear to be completely physical. They have a normal form but then do strange things like squash and stretch at times, Zant could coil his body around without hurting himself. It could also be possible that the Twili are more physical and normal in their own world but has much less presence while in the World of Light.
Did you forget? That beast is one of the light dwellers who oppressed our people. No matter how much you may desire otherwise, you will never be more than a shadow in their world. You cannot consort with their kind! But if we can make their world ours, Midna...light and darkness will meet at last. Our tribe will take back their realm...and sweet darkness will blot out this harsh light! And that, Midna, is why... I need you. Not just for me, but for all of our people... Lend me your power. " — Zant
It may be that Midna's physical presence was reduced even more when she was with Link to that of a shadow that could barely interact with the physical. If that were the case then things like underwater environments and volcano heat would not affect her at all. She is largely formless when outside of the twilight.