Most of the bugs outside aren't good for the dragon to eat, mainly due to the chance the bugs have had contact with insecticides or fertilizers, especially if you have a small yard and your neighbours spray/fertilize their lawns recently. I would try to keep him in a plastic rubbermaid cage so he has less contact with bugs from outside.
There deffinitely are fireflies here in Canada. In ontario/quebec anyway, not sure about out west or the east coast. They are soft bodied beetles about half an inch long, dark brown with a orange/brown head. Underneath you will see a light blue/white section of the backside, which is what lights up at night. They are flying bugs too, but not to active during the day. Deffinitely want to watch for any bugs like this, as they are deadly poison to bearded dragons and most other reptiles.
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PHLdyPayne