I don't know why @Thursagen deleted his answer, but it did contain the only non-trivial information relevant to OP's question (defining a Möbius strip seems trivial to me, since however you spell mobius, Google's top result will probably be that Wikipedia page).
Möbius Dick is simply a pun on Moby Dick (or, The Whale, by Herman Melville).
In passing I'll just mention that Moby Dick has long been fertile ground for puns based on the slang usage of dick for penis, the fact that a common type of whale is the sperm whale, and that as an "unknown adjective", moby suggests something mouldy, moribund, or otherwise unsavoury. In this case the Futurama writers seem to have avoided those connotations.