>>pseudo+(OP)
> Some parts of the moon are permanently shadowed and therefore extremely cold, as low as -173 °C. This means that no energy or water would need to be expended to cool the data center.
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.
>>JoeAlt+Je
Rock is so well known as a thermal insulator that we build buildings from it (brick, concrete, stone blocks). I don't think it's going to help much with your heat transfer problem.