Greenhouse Fluids, crazy speculation
How about the perfluorocarbon fluids? Perfluorodimethyl cyclohexane, with a freezing point of -70C, and a MW of 400, would be liquid, and not escape in the solar wind, even without a magnetic field (I guess). You could fill in a local depression (where you want to mine) to create 1 atmosphere of pressure, and breath the oxygen dissolved in the fluid. You would need some special sweater, though, huh.