That doesn't sound right to me. If there's no air, then only black body radiation can be used to cool the data center. That means a massive radiator, a lot larger than a heat-to-air radiator+fan used on earth.
edit:
https://pmc.ncbi.nlm.nih.gov/articles/PMC9646997/ ("Thermophysical properties of the regolith on the lunar far side revealed by the in situ temperature probing of the Chang’E-4 mission")
Comparing against reference tables, it's more insulating than rock wool insulation,
https://www.engineeringtoolbox.com/thermal-conductivity-d_42...