Are cockroaches a usable source of protein?
http://www.cnn.com/2014/08/31/travel/china-cockroach-farming-food/

They should not be much different than crickets which are commonly consumed.  An insect which does not inherently produce a toxin should often be fairly safe depending on what they had been eating.  A sewer roach for instance would not be a good idea while a wood roach would likely be safe in a pinch.  I recall reality shows which would routinely make contestants eat giant hissing roaches something that might not be pleasant but which would not hurt the contestants.