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From Unmariowiki

The Moon is one of the most treasured things in the Marioverse, for it is made completely out of Green Cheese, a kind of cheese that tastes better than even normal cheese. In the SMK TV show, it is the second hardest course. The Cheese Lovers have their base here.

Proof

Proof the moon is made of green cheese that is sometimes yellow, zoom in all of the way, and its Google, so its not lying!