Yeah, Neptune was an... interesting level. I think I was more freaked out by Venus, with its gas clouds that drained your air quickly.
And, if we count non-Earth moons, that game also had Jupiter's moon Io, which I remember being moderately hard due to the really high gravity and erupting volcanoes. I think one of Uranus's moons was also there, but I don't remember too much about that level, aside from it having surprisingly low gravity.
I remember The Magic School Bus Explores The Solar System...
Neptune was bizarre. You, like, fell down into Neptune and had to fly up after a few screens or something. I can't remember what Uranus was like, though. Was it on a moon?
Also, final boss from Kirby's Adventure is on the moon. The battle even causes part of it to explode.
The EYE is protecting Exor!!
General of the Ridley Facepalm Army.