I was going to take this further by saying that it's not just a mass problem as again, Enceladus is closer to Saturn than our moon is to Earth and Saturn is 5 million times heavier than it but it still has an atmosphere. But then I figured we're talking about a universe where people can teleport vast distances seemingly instantly, dragons can spew fire indefinitely without requiring vast amounts of energy, people can make it rain regardless of cloud conditions, etc. So I think it's safe to say the standard rules of physics don't really apply here.
So whether it's a binary planet or moon is up to Larian and similarly with whatever kind of atmosphere, conditions etc that they decide to give it. I think meme and I were disputing the statement that moons can't have atmosphere's though, we just both brought up the binary planet thing independently.
So back to speculation, if you look at the scenery in this picture it seems kind of barren with lots of canyons, my initial instinct when I clicked on the image was that this was a moon orbiting Rivellon. It kind of reminds me of orbital platforms levels in Starcraft.
I think the idea of some kind of fortress on the moon isn't that uncommon in fantasy or mythology so perhaps this is some allusion to that. It's probably reasonable to assume that a sufficiently powerful wizard can teleport distances that far.
However I could be way off, and that planet/moon in the background could just be a nice artistic touch.
Thanks for pointing it out Stabbey!