OK supplemental food, if the size of the roach is small. Adult lobster roaches wouldn't be adviseable prey. Too large and may cause impaction. I maintain that this sort of prey item should not be the staple diet to a Horned Lizard.
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"A man that should call everything by it's right name, would hardly pass the streets without being knocked down as a common enemy." The Complete Works of George Savile, First Marquess of Halifax 1912,246