This is an drawing of the Galileo probe exploring Jupiter's environment.
Click on image for full size
Image from: The Jet Propulsion Laboratory
The Atmosphere of Icy Moons
The icy moons have no atmosphere. The reason they have no atmosphere is because they do not have enough gravity. The smaller the body is the lower its gravity, so moons have much less gravity than a planet has. Because there is little gravity, an icy moon cannot hold onto an atmosphere for very long.
An atmosphere can come from inside a moon. Some icy moons may have active surfaces, such as Europa, where the surface may "crack" and release molecules for an atmosphere from inside the moon.
However they get there, molecules may float around a moon for a while, but whatever "atmosphere" may be created disappears as soon as it is made.
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