The short answer is density.
Uranium and plutonium are both dense metals. When the fission reaction is initiated the uranium atom is split and releases neutrons which then hit other atoms of uranium causing them to split.
This is the basic fission reaction.
Air is much less dense, and the atoms move much faster and are less reactive. The neutrons from the fission reaction in the uranium have a much lower chance of hitting the nitrogen atoms, but more importantly if they did the nitrogen they hit is much less reactive and more stable than the uranium.
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