It's unlikely that this place would have been the actual homeworld of the species, considering the history of the species. Rather, it is likely to have been one in a long string of hideout worlds, of which we saw two during the show: the rogue planet at Omarion, and the more conventional world introduced in "Broken Link".
The Founders are supposedly billions of years old as a species, and the Dominion is thousands if not tens of thousands of years old as a political structure. There would have been plenty of time for the Founders to arrange for the construction of an entire rogue planet complete with companion starlets (after which they would of course kill all the builders in classic villain fashion). All sorts of "cheats" would be possible, including reinforcing the gravity by the usual artificial means, enclosing the atmosphere in a containing forcefield and so forth.
The planet does have a companion light source:
Since Kira and Odo agree that there is "no star system", this light source probably isn't a star. A large artificial satellite with big searchlights, or something else obviously "mechanical" like that? Or a small ball of fusion fire, starlike enough but evidently engineered because stars that small couldn't exist naturally, at least not long enough to be accompanied by planets?