On Earth, clay minerals are the most common products of weathering. ?

clays form via reaction of aluminosilicate minerals with water.  The water transports away cations such as Na and K and leaves Si-Al-Fe-oxy-hydroxide behind (cations link to O or OH).  The residual cation content depends on the clay type (clay maturity, in a way), so that is just a gross picture.  If you have little water, you cannot make oxyhydroxide minerals such as clays.

Huge temperature swings produce plenty of weathering.  Where do you think all that dust comes from?  However, no water = no chemical weathering = no clay minerals

Think about it - is there weathering on the moon...?

There's no water on Moon surface, therefore chemical weathering is inexistent there. No chemical weathering, no clay minerals.

There is no liquid water on the lunar surface.

Clay and sand are made by erosion.  But there's no weather on the moon!  No oceans or rivers.  So no erosion from wind or water or ice.