People often ask what Bay The Moon means. It simply means to pointlessly bang your head against something solid; trying to do what cannot be done because too few wish it; saying something which nobody wants to hear; in other words, pissing in the wind. Like a dog pointlessly barking at the moon somehow feeling it can be heard by it. I do it a lot, metaphorically speaking of course. Below is the original text in which Shakespeare used the expression (not sure if it was the first time).

BRUTUS
Remember March, the ides of March remember:
Did not great Julius bleed for justice’ sake?
What villain touch’d his body, that did stab,
And not for justice? What, shall one of us
That struck the foremost man of all this world
But for supporting robbers, shall we now
Contaminate our fingers with base bribes,
And sell the mighty space of our large honours
For so much trash as may be grasped thus?
I had rather be a dog, and bay the moon,
Than such a Roman.

©William Shakespeare – Julius Caesar. Act IV.