Consulting my handy copy of that fabulous book (which I am in the middle of, too), I notice that Chapter 2 (which actually® occurs on page 14) starts with: "It was a caterpillar scheme -- a dream of fabulous escape -- that had ultimately carried Josef Kavalier across Asia and the Pacific to his cousin's narrow bed on Ocean Avenue." I have never heard the phrase either, but if it is the author's creation he seems to have defined it pretty well.

As for a "second-story man," I have always understood that as a synonym for "cat burglar" -- a sneaky, dexterous criminal who specializes in breaking into upper-story apartments (presumably because residents there aren't as consistent in locking their windows).