We introduce a framework for generating samples of a distribution given a finite number of its moments, targeted at particle-based solutions of kinetic equations and rarefied gas flow simulations. Our model, referred to as the Wasserstein-Entropy distribution (WE), couples a physically-motivated Wasserstein penalty term to the traditional maximum-entropy distribution (MED) function, which serves to regularize the latter. The penalty term becomes negligible near the local equilibrium, reducing the proposed model to the MED, known to reproduce the hydrodynamic limit. However, in contrast to the standard MED, the proposed WE closure can cover the entire physically realizable moment space, including the so-called Junk line. We also propose an efficient Monte Carlo algorithm for generating samples of the unknown distribution which is expected to outperform traditional non-linear optimization approaches used to solve the MED problem. Numerical tests demonstrate that given moments up to the heat flux—that is, information equivalent to that contained in the Chapman-Enskog distribution—the proposed methodology provides a reliable closure in the collision-dominated and early transition regimes. Applications to greater rarefaction demand information from higher-order moments, which can be incorporated within the proposed closure.