Heh.
Well, this is possible, of course, but there are some serious ethical and safety concerns here that cannot possibly be overstated.
Never ever try this at home, boys and girls...
So, obviously spiders and cockroaches are terrestrial (non-flying) creatures. These bugs are also fairly translucent at higher wavelengths, such as IR and red, so green, blue, or violet works a little better. As pointed out, every living thing knows to run away from danger. If you "zap" a bug anywhere but right in the brain, it'll just make itself not be wherever it was as quickly as possible. So, for there to be the smallest possibility for such a thing to be the least bit humane, you'd have to have a very fine focused point aimed perfectly where it counts. The only way to really do this is to have the focal length marked somehow on your lens adjustment and then to fairly accurately measure the distance from the lens to the "target" before you do any lasing. If you have something like an arduino or rpi with a rangefinder, and then a stepper motor to adjust the lens to predefined positions based on that, it can make the task of focusing a lot less guess-worky, but you'd still need to have very good aim to score a "kill" this way.
Even if all of this goes perfectly, and you manage to take out that roach like a cheating tween playing Call of Duty, there's still a pretty good chance that you will make little burn marks on your walls or floors, or possibly burn your house down. Even more likely that anyone not wearing proper safety glasses in the room where you do this will end up with damaged eyesight. Also possible: housefire, skin burns, etc.
Never ever try this at home. It's a terrible idea. And if you do, please be extremely cautious.