He thinks the moon is a small hole at the top of the sky (14)
This is a pretty good hint that the Man-Moth may not be all there, but it also points to his identity as someone distinct and separate from the Man in the first stanza.
Just as the ties recur beneath his train, these underlie his rushing brain. (35-36)
We should be thankful that the Man-Moth is more of a failed superhero than a villain because this constant drumming would drive a weaker man (or moth) totally bonkers.
[...] Then from the lids one tear, his only possession, like the bee's sting, slips. (44-45)
We have a hard time thinking about a bee without thinking about her sting, and, if a bee were conscious enough to understand her own mortality, she would probably feel the same way about herself. The sting is both the bee's power and her weakness. The Man-Moth experiences the same thoughts about that tear.