This was pretty fun, with a lot of good gags. I liked seeing the Grand Midwife/Park Ranger again. And Amy and Leela were kind of sexy as musclewomen. The steroid-abuse angle was handled rather superficially and half-heartedly, I thought.
About the lava not burning them alive, I know it's mainly just cartoon physics, but... since they're on the Moon and the gravity's lower, that would mean there's less buoyancy (since that's directly proportional to gravity), so wouldn't that mean there's less convection? So maybe the hot air above the lava isn't rising as quickly or as much. Heat radiation and conduction would still be factors, but the reduced convection might make conditions a bit more tolerable. If I'm right that it's reduced at all.