The escape velocity of the moon is 8,600 kilometers per hour. That would be a big, very expensive gun to set up and achieve that velocity. But yeah, if the "shells" and guidance could be manufactured on the moon, it would be an efficient system once its operational.

Again, the emphasis is that everything is several orders of magitude cheaper if you do it on Earth, especially if its something with a lot of mass. For the price of a single lunar space gun, one could build many enormous orbital guns on Earth.