The real concern is not oxygen but nitrogen. Humans can't live in a pure oxygen environment at standard atmospheric pressure for long periods of time, we suffer

The real concern is not oxygen but nitrogen. Humans can't live in a pure oxygen environment at standard atmospheric pressure for long periods of time, we suffer oxygen toxicity. Even at reduced pressures, a pure oxygen environment is incredibly dangerous due to the risk of combustion (see Apollo 1 fire). Typically for spacecraft a reduced pressure atmosphere with 60% oxygen, 40% helium is used, which is great for a space station holding a half a dozen people. But if we're talking large colonies, that's a lot of helium. Of course nitrogen can be used instead, as it is what we breathe on Earth, but neither nitrogen nor helium, nor any other element which forms an inert gas is abundant on the moon. While nitrogen is abundant on Earth and other bodies in the solar system (Venus' atmosphere for example has 3 times as much nitrogen by mass as Earth), it would have to be imported for a lunar colony. Perhaps an ammonia-rich comet could be mined to provide a source with a low delta-V to the moon; but it's still a lot more of a hassle than mining regolith.