Oh! Oh! I've thought about this!
It would make more sense to build habitat craters, dug deep enough into the ground that the surface air pressure would be at a level tolerable to humans (even if the atmosphere mixture was bad, being able to simply wear a respirator instead of an entire suit would be huge).
I did some math once, on Mars a crater several miles deep would have a pressure similar to Earth's surface.
I think the Moon was like 40 miles or something, which at that point would probably run into other problems that I am not smart enough to worry about lol