The lack of water is related to the lack of hydrogen; you'd need to find a hydrogen source to synthesize water.
Lots of oxygen in moon rocks, though, so in addition to directly importing icy asteroids, importing hydrocarbon-rich asteroids would also help (with the added bonus of carbon also being something scarce on the Moon).
Arizona is conducive to abundant solar power, so that'd be a good reason to build there. Similar deal here in Nevada (with the added bonus of Nevada being a giant blob of geothermal heat, further driving renewable energy supply and therefore datacenter attractiveness).
It's interesting that the “Classical Music” sample ended up with a style prompt of “Contemporary Christian”.
It's even more interesting that the “Contemporary Christian” music it generated was specifically Mormon music (specifically about the exile of Lehi and his family from Jerusalem into the wilderness, during which they reach the ocean, build a boat, and sail to the Americas), but in the style of contemporary Christian rock.
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