We discovered a vertical hole on the Moon, which is a possible lava tube skylight, using data from SELENE's two high-resolution cameras: the Terrain Camera and the Multi-band Imager. The hole is nearly circular, 65 m in diameter, and located in a sinuous rille at the Marius Hills region, a volcanic province on the lunar nearside. We observed the hole at various solar illumination conditions and estimated its depth to be 80 to 88 m. The depth/diameter ratio is much larger than for typical impact craters. There are neither conspicuous deposits indicating volcanic eruptions from the hole, nor are there pit craters adjacent to the hole that could be related to an underlying fault or dike. The area around the hole is covered by a thin (20 to 25 m) lava sheet, which may help protect the lava tube from collapse due to meteorite bombardment.