Suspense and tension. The character's dialogue is clearly one showing signs of conflicting ideas and paranoia, one of Poe's well-known attributes of writing. The character discusses a "dreadful" nervousness. Clearly the negative emphasis for being nervous adds or emphasizes what would usually be a negative feeling, increasing the suspense and adding to the tension is the use at the end of "mad". Here being the idea of not just "dreadfully nervous", but something more, crazy or mad.
The misplaced modifier is "wearing a bandanna." This sentence suggests that the building is wearing a bandanna, however the actual word it is trying to modify is the man.
