Short answer. It would point in the direction of the weakest electro-magnetic signal if it exists.
When we assign direction, it is often relative to something else. That is we need something to refer to and that we know does not change. So we have the magnetic north because the earth is actually a huge magnet in a sense. So, a needle will point always points north and then we can assign other directions in relation to the true north.
Now in space, deep space you may be far away from any strong magnetic force but if there is some weak force your compass would point in that direction depending on how good it is in detecting signal (sensitivity). The direction does not have to be north and you can name it whatever you want.
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