Turtle is right. I recently ran electrical to a detached garden shed,
and questioned the city inspector about this subject during his
inspection of my work. He said the heat build up is the concern.
He also said he will allow a small run of it from a interior wall into
a J-Box. The conduit run should be less than a foot. This was my case.
I had a exterior mounted j-box where my run to the shed began and I
tapped off an existing interior wall box. So I ran romex out from the
existing interior wall outlet to a hole in the exterior wall, where a
short piece of conduit (2-3 inches) protruded into the wall space
leading to my exterior j-box. Then in the exterior j-box wired the
romex to standard THHN wire, which made the run through the conduit
under the ground to the shed.
He said in the case I just outlined this is the prefered method. The
romex is used in the interior cavity of the wall, but comes into a
short run of conduit that seals out the elements as it exits the
exterior wall into the j-box. He said in this case the conduit is more
of an extension of the j-box since it's only a couple of inches long.