How to get out of the very first room in Starbound

There is currently no way to increase inventory space, although, since this is still beta, I would expect this to change. But the current answer is no, those two bags are all you have. Obviously, once this changes, I will attempt to remember to come back and edit this answer.

The map generates as you explore it by rules set by the game (same locations always look the same in same version of the game). The whole planet is not generated at once, but in smaller chunks. This can be seen if the server can't keep up with your exploration.

If you create a new character, that same planet, which previously had naked merchants, will continue to have naked merchants. You can fix it by regenerating your universe by deleting the universe folder.