The empty space between the atomic cloud of an atom and its nucleus is just that: empty space. That's the simple answer, however, sub-atomic particles such as electrons, protons and neutrons need to be treated as quantum objects. They have a wave function which can be thought of as the 'spread' in the particle's location. Electrons are 'spread out' quite a bit in their orbits about the nucleus. In fact, the wave-functions for electrons in s-orbitals about a nucleus actually extend all the way down into the nucleus itself. In this sense, then, the space between the electrons and the nucleus isn't really 'empty.' The electrons and the protons/neutrons are constantly interacting, either electromagnetically or through the weak force. In quantum field theory we would say that these particles are constantly exchanging photons (in the case of electromagnetism) or heavy gauge bosons (in the case of the weak force). So you might say that the otherwise 'empty' space between the electrons and nucleus is 'filled' with these quanta carrying forces.
