Is it safe to install a sconce light box inside a return air space?
This is what 2008 NEC has to say...


  300.22 Wiring in Ducts, Plenums, and Other Air Handling Spaces. The provisions of this section apply to the installation and uses of
  electrical wiring and equipment in ducts, plenums, and other
  air-handling spaces
  
  (A) Ducts for Dust, Loose Stock, or Vapor Removal. No wiring systems of any type shall be installed in ducts used to transport
  dust, loose stock, or ﬂammable vapors. No wiring system of any type
  shall be installed in any duct, or shaft containing only such ducts,
  used for vapor removal or for ventilation of commercial-type cooking
  equipment.
  
  (B) Ducts or Plenums Used for Environmental Air. Only wiring methods consisting of Type MI cable, Type MC cable employing a smooth
  or corrugated impervious metal sheath without an overall nonmetallic
  covering, electrical metallic tubing, ﬂexible metallic tubing,
  intermediate metal conduit, or rigid metal conduit without an overall
  nonmetallic covering shall be installed in ducts or plenums
  speciﬁcally fabricated to transport environmental air. Flexible metal
  conduit shall be permitted, in lengths not to exceed 1.2 m (4 ft), to
  connect physically adjustable equipment and devices permitted to be in
  these ducts and plenum chambers. The connectors used with ﬂexible
  metal conduit shall effectively close any openings in the connection.
  Equipment and devices shall be permitted within such ducts or plenum
  chambers only if necessary for their direct action upon, or sensing
  of, the contained air. Where equipment or devices are installed and
  illumination is necessary to facilitate maintenance and repair,
  enclosed gasketed-type luminaires shall be permitted.
  
  (C) Other Space Used for Environmental Air. This section applies to space used for environmental air-handling purposes other than ducts
  and plenums as speciﬁed in 300.22(A) and (B). It does not include
  habitable rooms or areas of buildings, the prime purpose of which is
  not air handling.
  
  FPN: The space over a hung ceiling used for environmental air-handling purposes is an example of the type of other space to
  which this section applies.
  
  Exception: This section shall not apply to the joist or stud spaces of dwelling units where the wiring passes through such spaces
  perpendicular to the long dimension of such spaces.
  
  (1) Wiring Methods. The wiring methods for such other space shall be limited to totally enclosed, nonventilated, insulated busway having
  no provisions for plug-in connections, Type MI cable, Type MC cable
  without an overall nonmetallic covering, Type AC cable, or other
  factory assembled multiconductor control or power cable that is
  speciﬁcally listed for the use, or listed prefabricated cable
  assemblies of metallic manufactured wiring systems without nonmetallic
  sheath. Other types of cables, conductors, and raceways shall be
  permitted to be installed in electrical metallic tubing, ﬂexible
  metallic tubing, intermediate metal conduit, rigid metal conduit
  without an overall nonmetallic covering, ﬂexible metal conduit, or,
  where accessible, surface metal raceway or metal wireway with metal
  covers or solid bottom metal cable tray with solid metal covers.
  
  (2) Equipment. Electrical equipment with a metal enclosure, or with a nonmetallic enclosure listed for the use and having adequate
  ﬁre-resistant and low-smoke-producing characteristics, and associated
  wiring material suitable for the ambient temperature shall be
  permitted to be installed in such other space unless prohibited
  elsewhere in this Code.
  
  Exception: Integral fan systems shall be permitted where speciﬁcally identiﬁed for such use.


After reading subsection (C), it looks like nonmetallic cable is not allowed in ducts unless it's in conduit.  

Equipment and devices shall be permitted within such ducts or plenum chambers only if necessary for their direct action upon, or sensing of, the contained air. 

Which means you can't have equipment in the ducts that is not part of the HVAC system itself. So a junction box for a light, would not be allowed (unless the light is inside the duct for maintenance purposes).

If your local government follows National Electrical Code (NEC), then you should not install a junction box for the light in the duct. If you don't follow NEC, it's still probably a bad idea. The boxes and cable are a good place for dust, dirt, and debris to collect. And the cables and equipment could be damaged during duct cleaning.