The Moon is the Earth's Moon.
In every episode, the moon is visible in the sky during the night.
In the episode "Moonstruck: Race to the Moon," the PJ Masks first visited the moon to stop Luna Girl from getting her hands on a Moon Crystal. Luna Girl used this crystal to build herself a Lunar Fortress on the surface of the moon.
The moon has since been visited several times, including by Romeo. It is the primary setting of the episodes "Moonbreaker," "Moon Madness," and "Moth on the Moon," as well as the shorts "Moon Rocked," "Play Date on the Moon," and "Space Race."
Originally, the PJ Masks had great trouble operating on the moon since their powers worked differently there than on Earth. This issue was solved by PJ Robot in "Moon Madness" when he upgraded their spacesuits.