My answer will be shamelessly Newtonian and Physics 101 in formulation. To start off the assumptions, I'm going to assume the air has no mass. To what extent is this valid? Air has about 1000x the density of other materials like rock and concrete, so we're looking at about that same volume ratio before the air mass becomes significant compared to the wall and as you'll see further into the calculations, this won't quite be the case until the object really is close to the size of the Earth.
The gravity at the surface of the balloon will be the following.
$$ g = \frac{G M }{R^2} $$
Here I have used the M variable to refer to the total mass of the wall. Now, this isn't the field that acts on the wall due to my prior arguments. Here's the part I was most unsure about: I divide this by two. Why? Well, the outside of the wall has $g$ act on it, but the inside of the wall has no gravitational field act on it at all (since I neglect the effect of the air). Average that out to get $1/2$. How does that translate into pressure? Introduce $\mu = \rho t$ where $t$ is the thickness of the wall, and you have the surface mass thickness in $kg/m^2$. This is what we need. Multiply that by the gravity and you have the same equation used on earth to find fluid head.
$$ P = \frac{1}{2} g \mu = \frac{G M}{2 R^2} \rho t$$
The point is that we already have a value of $P=14 psi$ that we wish to satisfy. For assumptions about density, $\rho$, my favorite approach is to assume it's made out of asteroid material with $\rho=1.3 g/cm^3$. Next, I'll introduce another easy equation, which is to multiply the mass thickness by the area to get mass.
$$M = 4 \pi \mu R^2 = 4 \pi t \rho R^2$$
These equations, with known density, by themselves can predict the shell thickness in what I call the "large limit". This assumed that the thickness is small relative to the total radius. So for any large space balloon made out of asteroid-density material the thickness is dictated by:
$$ t = \sqrt{ \frac{P}{2 G \pi \rho^2}} = 12.0 km$$
Since we know the thickness we may specify the radius or the mass. I thought it most appropriate to just say we have some given mass to work with. I took the mass of the asteroid 87 Sylvia, which is $1.5 \times 10^{19} kg$. Getting the rest is easy.
$$ R = \sqrt{ \frac{M}{4 \pi t \rho}} = 277.0 km$$
Yes, this is very big. However, the diameter is still about half that of Ceres. And 87 Sylvia is about the 18th largest by mass. Note that in the discussed configuration, the wall would occupy about 6.7% of the total volume.
Now I'm going to seaway into a different part of the answer where I ask "what if the balloon is fairly small?" We will start by defining $R$ to be the inner radius of the shell, which is the boundary of the air-filled region. To quickly get an answer, assume that $R\approx 0$, this forms the "small limit". You basically have a spherical asteroid and a negligible amount of air in the center. Integrate to find the fluid head, which will be set equal to 1 atmosphere.
$$ P = \int_0^t g(r) \rho dr = \int_0^t G \frac{4}{3} r \rho^2 dr = \frac{2}{3} G \pi \rho^2 t^2 $$
Now we get a definable limit for the smallest object we can make out of asteroid material that gets 1 atmosphere of pressure in its center.
$$ t = \sqrt{ \frac{3 P }{ 2 G \pi \rho^2 }} = 20.7 km $$
Obviously, this is larger than the previous large limit thickness, which is just due to geometrical factors. Now, how do we transition between the small limit and large limit values? We simply set up a more complex geometry, where the inner radius of the shell is $R$ and the outer radius of the shell is $R+t$.
$$ g(R) = \frac{G M }{R^2} = \frac{4 \pi G \rho }{3 } \frac{\left((R+t)^3-R^3\right)}{R^2} $$
$$ g(r) = \frac{r-R}{R+t} g(R)$$
$$ P = \int_R^{R+t} g(r) \rho dr = \frac{2}{3} \pi \rho^2 G t^2 \frac{\left(3R^2 + 3 R t + t^2\right)}{(R+t)^2}$$
This is a hefty equation, and as such, it's not practical for me to solve directly for the shell thickness. Instead, I will just show graphs now. First, here is a relationship between the $R$ and $t$ parameters in the above equation.

You can see that the required thickness transition between the two limit cases, however, the total required mass of the shell continues to grow as $R^2$ as it gets bigger since the thickness is constant and the surface area grows. For a more practical relationship, I'm graphing the required asteroid material against the volume of air contained in the balloon. I've limited it to a very specific volume range.

Obviously, as the inner radius and volume limits to zero, the required asteroid material limits to a constant. Keeping this assumption of 1 atmosphere of pressure, the graph is still fairly flat up to around an inner radius of $1.5 km$ and the thickness corresponds to about $19 km$. This case contains a volume of about $10 km^3$ and a shell mass of about... one 951 Gaspra (3e16 kg). Actually, it's actually pretty rigid.

(Gaspra... you got about 1 atm in there?)
So if you were going to make a space balloon out of this, maybe you would have to first mix it up with missiles before you insert the straw and blow.