The specific details may differ, but if

(1) big, roughly spherical objects pull other objects towards their centers

(2) this causes orbits, and

(3) nothing prevents two objects from being subject to each other's gravity

then I'd expect for objects to sometimes wind up orbiting an empty point in space for the same basic reasons that that happens in our own universe.

Obviously magic is a potential explanation. It's just an unnecessary one given point 3. That's the joke: Thinking that there even is a mystery to be solved is the result of an assumption that is, in retrospect, obviously wrong, and yet weirdly easy to make. Heck, I was going to post something to the effect that there must be something that the moons are orbiting in order for them to be orbiting at all. Then I remembered, oh yeah, massive bodies are attracted to each other.

It's funny because people are dumb. :P