It's an ellipse, but it is so elongated that it is extremely close to a parabola. If the entire mass of the moon was concentrated in a single point at its centr

It's an ellipse, but it is so elongated that it is extremely close to a parabola. If the entire mass of the moon was concentrated in a single point at its centre, and the projectile could pass through the moon, then the projectile would follow a parabola-like path and go down below the moon's surface, until it started curving around the other side of the centre and back up to its starting point. It's only when you look at the uninterrupted path that the difference between the parabola approximation and the ellipse becomes apparent.