* Atmosphere: Cyclones are weather phenomena that require a significant atmosphere to form. The Moon has a very thin, almost negligible atmosphere called an exosphere. It's far too thin to support the air pressure differences and rotation needed to create cyclones.
* Water: Cyclones also rely on water vapor in the atmosphere for their formation. The Moon has no liquid water on its surface.
* Rotation: While the Moon does rotate, its rotation is very slow and doesn't create the type of Coriolis effect needed to spin cyclones.
In summary: The lack of a substantial atmosphere, water, and the necessary rotational forces make it impossible for cyclones to occur on the Moon.