How do they breath?
People on the International Space Station breath through Russian and American technology. It is created through a process which turns water into hydrogen and oxygen gas. This will work on the moon if we can use the ice found there.
What would it be made of?
It would most likely be made of titanium on the outside because it can withstand great heat and pressure. Titanium is easy to produce and has about a 6 on the hardness scale. Titanium is a common used metal in the space industry.