Does the Invincibility Glitch Work on Moon Lord?

Nope....

What is God mode Terraria?

Godmode renders the player immune to all damage and knockback, and grants unlimited breath and unlimited mana. Debuffs are still inflicted as normal, but the player takes no damage from them.

What happens if Moon Lord kills you?

Defeating the Moon Lord rewards the player with the "Champion of Terraria" achievement, and if all other bosses have been beaten already, you will get the "Slayer of Worlds" achievement. He also drops a random weapon from the relevant pool, plus some Luminite used for the crafting of endgame items and armor.