Yep. Playing around with a custom methane-breathing hive-mind race right now with their homeworld in a nebula. Fun tech lines- they focus heavily on armor and are virtually ignoring all missile/anti-missile tech. They'll probably be in trouble when they run into an NPR that uses missiles, but I also figure being born in the nebula makes them galactic agoraphobics- they much prefer remaining in systems inside the cloud.
Anyway, there's (I think) slightly fewer colonizable planets with a methane atmosphere than an oxygen one, so if you go this route, concentrate on terraforming or get used to not having a lot of colonies.
