Norm was a great entertainer. He was playing 4D chess when most comedians are playing checkers. He's using Conan's own wittiness plus the audience's interest in the punchline to make the moth joke become what it is.

He was interviewed a bit before he passed and he explained that the moth joke when he first heard it was a 20 sec joke (moth goes into podiatrists office, says he has severe mental problems, doc says he should be seeing a psychiatrist, why did you come here? then the punchline...) but that the Conan producers told him they needed 7 more mins of content out of him on the show at the last second. Literally as they were heading into commercial break. So he decided at that point to turn the 20sec joke into a 7 min joke and improved it. And he did it amazingly.

https://www.youtube.com/watch?v=jJN9mBRX3uo