With a title referring to an old jazz standard (originally a 1933 Broadway number) about a fake backdrop, this Nog and Vic Fontaine episode is direct followup to "The Siege of AR-558" with Nog's mental recovery (lagging behind his physical recovery) taking place in Vic's fictitious holosuite world.
It's a fun use of Vic the hologram, giving the lounge singer his own little story about what's it's like to finally live a full life as opposed to having his world turned on and off each day (something more fully explored with the Doctor in Voyager). But the meat and potatoes of the episode lies with Nog, allowing Aron Eisenberg to carry the show for the first time with a story that Star Trek hasn't really done before. The idea of post-traumatic stress disorder immediately brings the military to mind, but physical stress can cause mental stress in all walks of life and is something even civilians identify with. When someone becomes ill or injured and can't work, or a student misses significant time at school, or someone suffers a great loss, it's not always easy to jump back on the horse and carry on, even with no threat to life. An injury, absence, or traumatic event can crush the spirit, and emotional recovery can be as painful as physical therapy. Feelings of inadequacy and anger surface, and facing everyday life once again becomes a daunting task. Fictional universes are a tempting escape because they offer a place of interest that's disconnected from the real world, with no reminders of real problems or tragedies past and present. So people lose themselves in worlds online, or in music and books, or even films and television shows. (And yes, there's more than a bit of irony for just such a kind of entertainment providing a forum to explore the issue). This sort of escapism is even more extreme than Barclay's "Walter Mitty" fantasies, because instead of being an occasional diversion or being woven from reality, it's a complete bail-out, with all connections to the real world cast away. The end result is like the ending of Shane, the 1953 Western on television that Nog questions: there are no real consequences. There is no real life.
Aron Eisenberg handles it all like a pro, and James Darren works well with him. But it's Nicole de Boer who sneaks in the back door and gives the episode a lift as Counselor Ezri Dax. Unlike "Afterimage" where Garak's problem seems manufactured by the writers for her benefit, Nog's problem brings Dax into the fold more organically and even opens the door for her to counsel Vic, albeit more subtly (which is all the better). This time, (with apologies to Echevarria), the writer gets her dialogue right and create a believable therapist as a result.
All that said, while this is Aron Eisenberg's magna opus, it is just an hour of Nog moping and "Moon" isn't going to crack any top ten lists. (And sadly, while Nog indicates he likes The Searchers, he doesn't mention how much John Wayne's sidekick looks like a young Captain Pike).