Technically Pluto has an atmosphere, but it is insanely thin and periodically freezes and falls to the surface. To get an actual Earth-like atmosphere on something the size of the moon would take far too many resources (even if you could access all the water trapped on the moon, it wouldn't be enough and it would be a waste in any event) and it would have to be periodically refreshed. The moon doesn't have a magnetic field currently and the Earth's doesn't provide any reliable protection for it either.
Also you joke, but during the Cold War there was a rejected plan to nuke the moon to show off American military might to the world.
In any event, if there was a plan to make a breathable atmosphere outside Earth, you'd be better off focusing on a massive terraforming project for Venus or Mars. Although even those would be projects on an almost unimaginable scale