The moth is symbolic of secret knowledge, shadows. But the creation of the mothman on the television is impossible though Kat is right that maybe it exists somewhere else.
The secrets and guilt feed the mothman and it hunts down those who did wrong and covered it up. Its a hunter. Kaylee was called Katherine in the movie and she became it after she killed it. If Kaylee doesn't keep a bad secret, there's no reason to be turned into a moth.