Why do cockroaches burst from soapy water?
As far as I am aware, cockroaches don't burst from being sprayed with soapy water (water + some liquid dish detergent). We previously had many cockroaches in our apartment (some came back after a year of nothing!), and we regularly sprayed the cockroaches with soapy water plus some vineger (more as a disinfectant/cleaner) and they never burst. We've killed at least 30 using this method.

Having said that, what you likely witnessed was the egg sacs dislodging from the back of the female cockroach. As you didn't mention what species of cockroach you were dealing with, I am assuming you had German cockroaches as they seem to be the most common type in non-tropical/hot areas.

According to a number of biology sites, German cockroaches are particularly difficult to control and eradicate is because they carry their egg sacs with them until they are ready to hatch. At which point they drop the sac.

If you are able to catch a few that seem especially big, you will notice that they have a sac at their back.

If you don't have German cockroaches, I have not idea why they would burst...