Luna has the aluminum but probably not the stuff to make mylar or kapton or something similar. You need CHN (Carbon, Hydrogen, Nitrogen) for that.
On the other hand, O'Neill's students did think a bit about how to make metal films without any plastic backing and that might be (1) practical w/ Lunar materials assuming you can get the mass driver, catcher and all of that working, and (2) produce a very high performance sail if it survives the corrosive space environment, metal-Kapton sails didn't do that well here