There are already lava tubes on the moon that can be turned into human habitats and working spaces.
I considered lava tubes, but on the Moon they have their own problems.
Earth is a destructive place, so if nature or man creates it, and it remains over time, it is sound, which includes mines, natural caves and lava tubes. But the Moon is not like that. If it creates something that is not sound, it remains. So you cannot trust the ceiling, walls or floors of a lava tube until you have gone over them with test equipment.
The next problem is that whatever tunnels you have are limited in size by your ability to pressurize and heat them. And it would be far preferable if they were horizontal instead of sloping and irregular. The first tunnel may be only 50’ in length by 7’ in circumference, except for the flat floor.
A man made tunnel can be started in the floor of a crater, going into the side of the crater, in a place chosen as a relatively temperate place, likely near the pole where ice can be mined. A lava tube is wherever.