However, there's another diplomatic crisis which could raise temperatures in the -12°C winds of Pyeongchang - North Korean athletes are being denied their special Samsung "Olympic edition" Galaxy Note 8 smartphone souvenirs.
Pence is traveling to Seoul later Thursday as he seeks to ramp-up pressure on the North and to push back on its propaganda around the games.
Pence, who arrived in South Korea on Thursday, will meet separately with Moon.
United States and senior North Korean officials say U.S. vice-president Mike Pence and Northy Korea's Kim Jong-un's younger sister Kim Yo-jong have "no intention" of meeting each other at the Winter Olympics - even though Mike Pence and Kim Yo-jong will be seated just metres apart at the opening ceremony, a report in The Guardian on Thursday said.
Recent high tensions on the Korean Peninsula have unexpectedly ebbed in the build-up to the Olympics, with a string of minor breakthroughs since Pyongyang announced its intention to participate in the Games in South Korea.
The North's decision to take part in the Olympics came after three rounds of inter-Korean dialogue held last month, the first of their kind in over two years.
The venue for the meeting and lunch is yet to be decided, the Blue House added.
The North's state media also showed what appeared to be intercontinental ballistic missiles on launchers as thousands of North Koreans filled Kim Il Sung Square, named after Kim Jong Un's grandfather, in Pyongyang. And female ice hockey players from both Koreas will compete as one team.
North Korea last tested a missile in November, 2017.
Despite his harsh rhetoric, Pence hadn't categorically ruled out the possibility of meeting with senior North Korean officials during the games, saying "we'll see what happens".
The South Korean company has a huge business presence in Iran but Iranian and North Korean athletes were the only ones initially blocked from the giveaway of the new US$1,100 (HK$8,600) limited-edition Galaxy Note 8, Iranian media said, reportedly due to fears of breaking U.S. sanctions.
When asked by reporters if he would be willing to have some sort of interaction, Pence had said "we'll see what happens".
Before leaving Japan for Korea, Pence announced that the US would unveil in coming days "the toughest and most aggressive round of economic sanctions on North Korea ever".
Aides acknowledged that the vice president's cynical message is an unusual one for Pence, but said the circumstances warrant the tone.
As if to steal the thunder, North Korea conducted a military parade Thursday ahead of the games to commemorate the 70th anniversary of the creation of its military.
Moon told Pence the US and South Korea had "airtight" cooperation and hoped the Olympics could lead to denuclearization of the peninsula. At the same time, the vice president has deliberately left the door open to a possible encounter with North Korean officials expected to be in attendance.
Fireworks went off as Kim Jong-un took his place on the rostrum to watch the display, along with his wife, Ri Sol-ju, and ceremonial head of state Kim Yong-nam - who is to head Pyongyang's delegation to the Olympics today.