I haven't had a bug in my iron that I know of. My iron is really old and does not have a clear reservoir, so who knows? I would add water from the tap until it overflowed and maybe floated the bug out? If not, I would add water to the reservoir, cover the hole and let is sit for a few days until the bug dissolved. I would them rinse out thei ron a couple of times and go back to using it. It's just a bug after all.
I might want to look to see where he came in and do a thorough clean to make sure he didn't bring any friends with him. He must have been thirsty to crawl in the iron but if he was hungry, he and his friends might chew on fabric.