HDR night photography with the D5200

Tonight I went out and tried a tripod shoot of an island about 3km offshore from a beach using HDR.
There was a full moon but patchy clouds with the occasional gap.
Anyway, the D5200 has the HDR 3 exposure bracket mode. I activated that to the maximum +/- 2.0 e.v, set shutter to wireless remote, activated shutter delay mode, set aperture priority mode, set my aperture to 7.1.
Got a gap in the clouds with the full moon, went to shoot and the remote wouldn't trigger the camera.
A message on the rear lcd screen said something like "too dark".
To get the camera to fire I had to change the iso to Hi 2 and use the normal shutter button.
But of course now my photos are super-grainy.
FYI - Picture stats are, ISO 10159 18mm f/7.1 4.0sec

What should or shouldn't I have done?

Aperture and Shutter Priority modes require that you be able to get what they consider a "proper exposure" before they'll fire, which is why you got the message you did. But, unless there was some restriction on the shutter speed (Auto ISO on with minimum shutter speed set to "Auto", perhaps) your camera should have been able to find a shutter speed at your current ISO in Aperture Priority mode.

I don't have a D5200, so I cannot speak to any specific restrictions that camera may have when doing exposure bracketing, but there are times when it's just better to get into Manual mode in low light, tripod situations and do it yourself. That said, if you were waiting for clouds to move I suspect you would have had a hell of a time merging the 3 images in post since your sky would have been constantly changing.

Agree with BH. I always use Manual mode on long exposure shots. As for long expousure HDR , I never attempted it. There would be way too much ghosting. Photomatix does a great job removing ghosts, but it maybe too much for it to handle.

Having said this, now you got me curious enough to try this myself.