See eg https://en.wikipedia.org/wiki/High-test_peroxide
They could even be making hydrogen and oxygen, but that must be harder to handle, I'd think. Doing it on a cold asteroid might help, though. It does look like it's more than just using the water as reaction propellant in an ion engine, however:
You'd need a good thrust to get off the Moon, Mercury etc. - more than an ion engine could manage so far, I think.
On edit: No, it seems they just pressurize the steam:
The World is Not Enough (WINE) is a new generation of CubeSats that take advantage of ISRU to explore space for ever. The WINE takes advantage of existing CubeSat technology and combines it with 3D printing technology and a water extraction system developed under NASA SBIR, called MISWE . 3D printing enables development of cold gas thrusters as well as tanks that fit perfectly within the available space within the CubeSat. The MISWE allows capture and extraction of water, and takes advantage of the heat generated by the CubeSat electronics system. The water is stored in a cold gas thruster's tank and used for propulsion. Thus, the system can use the water that it has just extracted for prospecting to refuel and fly to another location. This replenishing of propellants extends the mission by doing ISRU (living off the land) even during the prospecting phase. In Phase 1, we plan to test and investigate critical technologies such as (1) sample acquisition, (2) volatiles capture, and (3) 3D-printed cold gas thrusters that use water vapor including the organic and particulate contaminants that are inevitable during the early stages of asteroid mining. The engine is similar to a Solar Thermal Engine but scaled for a CubeSat.
https://www.sbir.gov/sbirsearch/detail/887413A cold gas thruster is a propulsive device that uses pressurized inert gas as the reaction mass. The compressed gas is released through a propelling nozzle to generate a cold jet thrust.[1]
A cold gas thruster usually consists of simply a pressurized tank containing gas, a valve to control its release and a propelling nozzle, and plumbing connecting them. A very simple example would be the use of a handheld CO2 or nitrogen gas fire extinguisher while sitting down in a rolling office chair; motion is achieved by pointing the nozzle in the direction opposite of the desired movement and activating the extinguisher.
Because the gas is usually unheated, speed at the throat is low and very low performance is achieved; in a vacuum with nitrogen gas a specific impulse of 73 seconds can be achieved.[1] The maximum theoretical specific impulse for nitrogen gas is 76 seconds. In the simplest approximation, the specific impulse is modeled as proportional to the square root of the (absolute) gas temperature, so performance rises as the gas temperature is increased. A thruster in which the performance is increased by heating the gas by an electrical resistance is known as a resistojet.
Cold gas thrusters are mostly useful for vernier engines, and are employed chiefly for simplicity and reliability.
https://en.wikipedia.org/wiki/Cold_gas_thruster
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