Lucian's True History comes to mind, but then, as it was a satirical work, I am not sure what conclusion one could arrive at from that. But it would seem it mustn't have been too great a conceptual leap for him to envision people living on them, walking around. So, what did Ancient Greeks/Romans think of what stars and planets and the Moon actually were, apart from just lights in the sky? Thanks :)
I hesitate to answer since I'm not an actual academic and the sub has famously high standards but...
I do know a bit about late Roman Neoplatonism, though. This was a specific philosophical / religious field among intellectuals of the time, and was never hugely widespread in the Roman Empire. But, the cosmology and astrological features were directly based on even earlier pagan concepts, and seem to reflect some common beliefs of the period. Now that we've gotten that disclaimer out if the way: The seven classical planets in the sky (Sun, Moon, Mercury, Venus, Mars, Jupiter, Saturn) were associated directly with different gods, which is why we call them by those names. At times, their writings do sound like they thought those planets were literally, physically the gods watching over us, but more commonly they talk about each planet residing in nesting concentric spheres surrounding the earth, with each sphere, and its planet, being the home of a particular God. It doesn't seem like these Platonists considered the other planets to be "planets" as we know them (that is, solid balls in space, similar to earth), but instead as ethereal, hard-to-comprehend realms of the gods.
A number of Greek philosophers going back at least to Anaximander (610-546 BCE) did argue that the celestial bodies were huge, distant objects made of ordinary matter. It's worth mentioning that Greek astronomers were able to estimate the actual size and distance to the Sun and the Moon based on empirical measurements and correct mathematical reasoning, if not with perfect accuracy due to the poor measurement data that was available.
Opinions varied regarding the shape of the celestial bodies and whether their substance was fire (Anaximander), clouds (Xenophanes), air (Stoics), or earth/metal (Anaxagoras). Over time, the view of the Moon in particular seems to have shifted from more fire-like to being Earth-like.
A notable exception is Aristotle who thought the celestial bodies were made of aether (the fifth element, distinct from the ordinary four elements found on Earth).
Anaxagoras (510-428 BCE) is credited with being the first to realize that the Moon reflects the Sun's light instead of shining by itself. He was, accordingly, able to give a correct explanation for eclipses. Anaxagoras thought that the Sun is made of red hot metal and that the moon is made of earth.
Such views were not uncontroversial. Anaxagoras himself was supposedly tried for and found guilty of impiety, though there seems to be very limited information available about the actual circumstances of this trial. During the trial of Socrates in 399 BCE, Socrates was accused of thinking that the Sun and Moon are made of stone and earth, as opposed to being purely divine. In defense, Socrates distanced himself from Anaxagoras.
Plutarch in his essay "The Face of the Moon" (around 90 AD) views the Moon as Earth-like. According to Plutarch, the visible features on the moon are shadows from mountains and valleys. Plutarch argues that the Moon must be inhabitable and ponders what the inhabitants of the Moon would think of the inhabitants of the Earth.
So, in brief, the idea of the celestial bodies as physical (even Earth-like) places on which people could walk or live had clearly been entertained seriously, ahead of Lucian's True History.
Note: I would love to read a more in-depth answer from an expert, particularly with more context about Plutarch. (I'm just a non-historian scientist with an amateur interest in the history of science, and did some cursory reading since I found the question interesting.)
Sources:
M. Patzia, Anaxagoras, Internet Encyclopedia of Philosophy http://www.iep.utm.edu/anaxagor/
P. Curd, Anaxagoras, Stanford Encyclopedia of Philosophy, http://plato.stanford.edu/entries/anaxagoras
D. W. Graham & E. Hintz. Anaxagoras and the Solar Eclipse of 478 BC. Apeiron 40.4 (2007): 319-344. DOI: 10.1515/APEIRON.2007.40.4.319
O. Longo. Earth, Moon, and Planets (1999) 85: 237. DOI: 10.1023/A:1017024100592
D. T. Runia. Xenophanes on the moon: a doxographicum in Aetius. Phronesis, 34.1 (1989), 245-269. DOI: 10.1163/156852889X00170