Do regular languages belong to Space(1)?
A regular expression can be transformed into an NFA as you say. And an NFA can be transformed into a DFA. This latter transformation is exponential in the worst case (in terms of the size of the original NFA), but that is irrelevant. The amount of time this transformation takes is independent from the size of the input, and is thus $O(1)$.

Similarly, the size of this DFA is also independent from the size of the input, so storing it takes $O(1)$ space. No further space is needed other than the DFA, and thus a recognizer for a regular expression can run in $O(1)$ space.