Let's say we find a lava tube that is 15 meters in diameter and 100 meters long. That is about 70 thousand cubic meters, and would require about 70 tons of nitrogen to create an artificial atmosphere similar to the one we have here (we can ignore the oxygen, or which there is plenty in the lunar regolith). Bringing 70 tons of stuff from Earth is not impossible, but far from easy, even given Musk's Starship.
It is much more likely that initially we'll build something similar in volume to the International Space Station, where we were able to keep a breathable atmosphere for 20+ years. Which, by the way, has a volume of only about 1000 cubic meters (out of which only about 400 m3 habitable).