The energy input is the problem.

I guess would need a combination of big gas giant (infrared radiation output from various processes) plus small orbit (extra heat from gravitationally caused tectonic processes) plus high amount of heavy elements (extra heat from radioactive decay).

Without the energy inflow from a sun, is going to be really cold, Canadians might even need a sweater.

Apart from that, having planetsized moons is feasible, even getting ejected as a whole gravitationally bound system doesn't seem out of the ordinary..