The Watchmen writer features in a sketch at the end of next week's episode of Stewart Lee's Comedy Vehicle, which is titled 'Identity'.
Lee told Digital Spy: "I talk about how national folk heroes tend to be fabrications and based on falsehoods, like Robin Hood. I talk about how there wasn't a Winston Churchill - he was a pig in a hat.
"Alan Moore plays himself as a man who knows all about conspiracy theories. He comes on and takes us to the pig Churchill's bunker and shows us around it. He was fantastic and I'd love to do more of this with him."
He continued: "I got a room made up in an empty stately home and it looked like a wartime bunker that a pig would have had if it had been in control in the war effort. There was all strange props in there - vodka bottles full of swill and troughs.
"Alan knew what the story was but he didn't know what props were going to be in there. He opened the room and went in and - in one take - just improvised a 20 minute conversation about all the set dressing."
Lee added: "Alan was really, really great off the top of his head - as you'd imagine he might be if you've ever read any of his stuff. He's got a fantastic imagination, and it worked, really really well.
"We only ended up using three minutes of it, because that's the format of the programme, but hopefully when he's seen it it might be something he'd want to do.
"We've tried to do something before but it's quite hard trying to find a format - really with him you just want to hear him talk because he's so funny and clever and witty."
Lee recently confirmed plans to release a DVD of Fist of Fun, his mid-'90s comedy show with Richard Herring.
Stewart Lee's Comedy Vehicle continues on BBC Two on Wednesday at 11.20pm.
> Read our recent full-length interview with Stewart Lee
Watch a clip from series one of Stewart Lee's Comedy Vehicle below: