This came during an interview where Cruz discussed his incorrect belief that Captain Kirk would have been a Republican in our era (IRL Kirk would actually have bounced between various polycules before dying of something called "mega-herpes" at age 23). But his Rorschach comments drew the most attention since that character is less of a traditional superhero and more of a dangerous lunatic. Dude's basically a human face mask from being an actual serial killer. Say what you will about the Punisher, he's very unlikely to burst out of a Colgate executive's fridge, screaming about fluoridated toothpaste.
The choice was particularly unfortunate, because it gradually becomes clear that Rorschach harbors a disturbing hatred of women, gay people, liberals, the poor, and using some goddamn soap from time to time. And a lot of people think those same things about one Ted Cruz. Except for the last one, since Cruz consistently has a shower soaked look in every media appearance to date.
To be fair, Rorschach is definitely the protagonist of Watchmen, but that story was written to deconstruct the very idea of a superhero. As a result, it doesn't contain any, with the various masked vigilantes ranging from far-right nutjobs (Comedian, Rorschach) to well-meaning incompetents (Nite Owl). The only characters with anything approaching superpowers either lose interest in humanity (Dr. Manhattan) or become grandiose narcissists who view the rest of us as something between children and gerbils (Plot-Twist Man). Aside from Squidy, the famous super-squid we all love, there isn't an actual hero in the whole thing. Sure, Rorschach isn't 100% bad and has a pretty sympathetic backstory, but so does Joaquin Phoenix's Joker and it'd still be weird to name him as your favorite superhero.