We're talking a MOON here- hundreds of degrees in the sun, cold enough to freeze amonia in the shade.... it's actually safer to BE in dead space. In space, heat can't escape your body- it needs a surface to conduct through. Just like you can safely sit in a car with a live power line laying on it- the rubber tires prevent a complete cicuit. Try stepping out of the vehicle, and you'll get yourself killed. Anything capable of living on a moon probably absorbs solar energy (like plants) and, although they'd need oxygen, they could recycle their own.
Such a creature, as long as it didn't accelerate *too* much before hitting earth's atmosphere, would survive the decent. And even if the first wave didn't, they'd create a 'blast shield' of sorts that would allow the monsters behind them to survive. Also, for all we know, they carry eggs inside them that hatch when they die, eating their way out of the parent. You can step on a cockroach, and it's eggs will stick to the bottom of your shoe only to be tracked around where you walk for a couple days, and hatch in a week or two. Of all the things to nit-pick, you chose the only one that can be explained logically.