You cant build a nanite on a moon?

Nope. Makes building JG annoying.

My personal theory is that since moons' gravitational pulls are weaker than planets', all the nanomachines would float away

After extensive searching, found this thread.
Although I'd really like to know why is that so. There are plenty of other buildings that are totally useless on moons right now (like storages, for instance).

I would agree that having Nanite Factory would be ideal for moons. Here is a suggestion (maybe I can put this on the suggested changes too..)

Remove these (pointless buildings for a moon):
Metal Storage - Increased storage space for metal.
Crystal Storage - Increased storage space for crystal.
Deuterium Tank - Provides a larger tank to store more deuterium.

Add This:
Nanite Factory - Increases production speed on ships, defenses and structures by x2 per level.