You may be lucky enough to have landed youself with a brown veiled. There are a few threads on this forum about veileds that never turn green, just stay brown all the time. They still go through the range of changing colour intensity, from dark brown to an almost graylike colour. You've never see him green correct?
Not sure about locusts, never been available locally to me, but several other members seem to feed locusts no problem. Just don't go picking them off your lawn, get them from a store or reliable dealer.