As I mentioned before, the Moon does have a very tenuous atmosphere, and it was detected spectroscopically many decades ago even before the Space Age began. The density is about a billion times less than the Earth's, so in terms of conducting sound waves, it is pretty poor. The mean free path between collisions between the atoms is 1000 longer than for atoms in the Earth's atmosphere, so shock waves and pressure disturbances have very long wavelengths. Only very low, sub-sonic sounds could be easily transmitted I would suspect, and you would have to be sitting right next to a major explosion with your space helmet off in order for the pressure wave to be audible I would think. This is not recommended!