"He has a thousand forms, and many names. It wouldn't be good for you to know any of them, though," says Aang. "He's looking for cracks, for ways in, for...empty spaces waiting for him. You're better off not knowing his name."

The digression about bugs is just Aang being Aang, Roxie. Don't worry too much about it--he just has a short attention span, sometimes.

"He's a King of Nightmares, waking and sleeping."

He'd say another name, for a different kind of king that the horrible being sometimes takes the form of that might give Roxie some clues, but no such type of ruler exists in his world.