I can think of something easy to create planets or moons:
Create a new image with same width and height(eg 500x500). Then "Render"> "Clouds"> "Difference clouds". Make a sphere with "Map" > "Map Object" marking "Transparent background" and "Create new layer". Then select the sphere layer and "Layer" > "Transparency" > "Color to Alpha" and you choose Black as the color to make transparent. You will get a semi-transparent sphere which you can put on some sky. If you want to make the outer glow in a new layer you make a hollow white circle slightly larger than the sphere (Elliptical selection and then Edit > Stroke Selection) and apply a big value of Gaussian blur.
Of course I can think of countless variations to what I've said.
Edit:The sphere should not be transparent, avoid the "color to alpha" step. I do not know what I was thinking, maybe design a soap bubble
Edit 2:Or maybe with the transparency it remains similar to the picture that you have as an example.