edit: this is assuming we're not allowed to set up nuclear reactors there
Oxygen atoms are easy to find, sand and rust (and water) have a lot of them. The problem is isolating them to produce molecular oxygen that can be used to burn the fuel.
Eventually it should be possible to build such things in space and then they can be huge. There are already semi-serious proposals to solve the Earth's energy problems with space based solar collectors. Of course they would have to a lot bigger further out. Perhaps Jupiter's flux tubes could be tapped.
Feasible? No.
https://www.youtube.com/watch?v=Wum8_8sWdeU