do super mario odyssey and galaxy count?

kirby's adventure's final boss takes place on the moon, and super star's is set somewhere in space - i'd argue lots of kirby games qualify for this, including the aforementioned two, and dream land 3, 64, squeak squad and star allies

it's not a traditional final boss per se, but the final mission in we love katamari before the ending takes place in space

pretty sure ecco 1 and tides of time qualify. also in the mega man series, there's 10, x5, battle network 4 and star force 3.

Rocket Knight Adventues

Also Gunstar Heroes. Probably just every Genesis platformer actually

Mega Man Zero 4 arguably counts (on a platform outside of the earth's atmosphere)
Both Sin and Punishment games
Touhou 8 and 15 (you can even see a picture of a real moon landing in the background of one of Eirin's attacks)

The Knights of The Old Republic games all take place on other planets. Final boss included.