> Do we have example of naturally ocurring space object with such low density?
Depends what you mean by "object. Assuming the mass is mostly protons, that corresponds to a density of ~3e19 particles per cc. In comparison, molecular clouds in the galaxy have regions which are have densities as low as 1e2 particles per cc. And the hot X-ray emitting gas in clusters can be less than 1 particle per cc. There are things which span the gap, including disks around stars.
By object he is probably talking about matter in a solid state which would exclude gas or plasma. Also given Oumuamua's rotation rate the pieces of matter that makes up the object probably has to have some bounds with each other or it would fly apart.
Depends what you mean by "object. Assuming the mass is mostly protons, that corresponds to a density of ~3e19 particles per cc. In comparison, molecular clouds in the galaxy have regions which are have densities as low as 1e2 particles per cc. And the hot X-ray emitting gas in clusters can be less than 1 particle per cc. There are things which span the gap, including disks around stars.