Earlier quoted context omitted.
The same place that water came from on Earth... comet impacts and residual moisture from the impact that split the Earth-Moon system. Really the same place all planetary water and gas has come from. There's not much left because it mostly boils off due to low pressure, but in dark crevasses it's likely to stay cold enough to remain condensed. It's been measured spectroscopically.
Where did the comets get the water they impacted on earth?
Hydrogen comes from primordial nucleosynthesis [1] and makes up most of the interstellar medium [2]. Oxygen is produced when neutron stars collide and stars explode [3] as well as when some stars burn [4]. These freely combined in the gas disk from which our solar system formed, condensing into planets, moons, comets and other things [5].
[1] https://en.m.wikipedia.org/wiki/Big_Bang_nucleosynthesis
[2] http://casswww.ucsd.edu/archive/public/tutorial/ISM.html
[3] https://www.chemistryworld.com/news/heavy-elements-forged-by...