METEORITE OR METEORWRONG?
vesicles in meteorites - basalts
As mentioned here, vesicles only develop in rocks that cool from a liquid. Most meteorites come from asteroids, and almost all asteroids are too small to have volcanoes, thus very few meteorites are igneous rocks, that is, rocks that formed from cooling of a liquid (lava). Most such rocks among the meteorites are basalts. Among meteorites, the only igneous rocks are the eucrites and diogenites (believed to come from a large asteroid like Vesta that had volcanoes), most of the martian meteorites (Mars has some really big volcanoes), and some lunar meteorites. So far, there have been no vesicular martian or lunar basaltic meteorites discovered. A few eucrites and diogenites are moderately vesicular, however.
vesicles in meteorites - impact melts
When two asteroids collide, melting may occur and gas may be released. Sometimes the impact melt traps gas bubbles when it cools. This is a special kind of igneous meteorite, one even rarer than meteorites of volcanic origin.
A few lunar meteorites have vesicles that formed by impact of asteroidal meteorites on the Moon. A spectacular example is Shişr 166.
Another vesicular lunar meteorite are the four paired stones of Dhofar 081/280/910/1224. These stones have vesicles in the glassy matrix because the matrix was once molten and probably consisted of melted regolith that contained solar wind gases. It's probably more accurate to call these cavities vugs, not vesicles, because most are not spherical.
Keep in mind, however, that meteorites are very rare and lunar meteorites are exceedingly rare - less than 1 in 1000 meteorites are from the Moon.