Mario inhaled a pair of Magical Air Fairies a really long time ago. They found his lungs comfortable and decided to live in them forever. Mario demands that they keep his lungs filled with air at all times, rather than charge them rent. It's quite a common occurence in the Mushroom Kingdom, actually. The reason he has an air limit in some games is because his Air Fairies are out of town on vacation in those games.
Sadly, when Mario gets old, he'll die from a combination of memory loss and suffocation. The Fairies will go on a vacation and he'll forget to breathe while they're gone.
Woot. Randomness.