As an immortal goddess our lovely Luna can’t be hurt and can’t be exhausted through magical means. So when captured a way needs to be devised to keep her mind scattered and unfocused.
 
Pain is absolutely useless as it focuses the mind in desperation. But pleasure and titillation, that truly gets a goddess to squirm and laugh helplessly.
 
And so poor Luna’s captivity keeps her situations like this. Where devious devices keep her mind unfocused through kinky, playfully teasing traps and torments.