The insect game was a game conceived by The Clown, and known to The Spectre.
After the Little Woman told The Clown to stop being a "poop", and that he should not to take his bad mood out on his cohorts, but instead, suggested he "take it out" on his hostages, which included Harry Kim. To that end, The Clown suggested playing the insect game, he began pretending to grab at insects flying around him, but was interrupted by The Doctor before the game could fully commence. (VOY: "The Thaw")