Literally speaking all that the poet means when he writes this line is that the moon is not very distinct or clear, at least not on this night. You can see this when there are clouds in front of the moon. Often in such cases the moon does not look like a solid round object but instead looks like it is wrapped in a veil.
More figuratively, I think that Shelley is saying that the moon looks mysterious and perhaps weak when he sees it. This is in keeping with the overall mood of the poem.
HERE GAUZY VEIL MEANS A THIN AND TRASPARENT CLOTH,THAT IS COVER BY BUT IN REALITY THE MOON SURFACE IN COVERD BY STRIPS OF CLOUD AND MOIST, SO IN THIS SENSETHE POET SAYS