There are lots of bugs that are breedable at home, some easier than others.
As far as roaches, besides dubias, you have discoids, Madagascar hissers, dusky cave roaches, green banana roaches, surinam roaches, turkistan roaches, etc.
Then you can breed hornworms, silkworms, and superworms if you want worms.
And then you have katydids, preying mantids, stick insects, etc.
There's a lot out there! And they have have caresheets if you run a Google search on how to care and breed them.