There is evidence that water exists in the moon. The 1990s brought to light the existence of water in regions coated with frost, though this was met with a lot of skepticism. Later on, India had sent the Chandrayaan-1 probe to better analyze the contents of the region in question. There, they discovered water trapped in craters in the lunar poles, which are like the Earth’s poles in a way. These regions had 30% water ice trapped within their craters.
There is a lot of excitement over the discovery as lunar ice, which some are calling it no. The discovery stated that the lunar ice can be used for fuel and even as drinking water. NASA is looking forward to further explorations in the region as it reveals that water is actually quite common in other parts of the solar system.
You would be shocked to find water on Mercury too, but it exists! There is evidence of water tucked in its craters and in areas where the sun’s heat does not reach it. In other words, cold regions exist within the mostly hot planet. It is a mystery how such ice would come about, but the likely answer is that they were the result of comet impacts on the surface. This is likely how it was for the moon as well. There is also a theory that high-altitude regions had metallic frost that would boil forth from the rocks and cause volcanic activity. This is why in hot planets, there are pockets of water observed. These compounds melt and then stay frozen on the ground, far away from heat. The situation for planets like Jupiter and Saturn is almost the opposite. Their insides are hot while the outside is an environment for ice and snow to exist. The surface is also not solid for the snow to collect, but the flakes, instead, go through an endless cycle of melting and evaporation. Neptune and Uranus basically have frozen skies.