Lemons have many health benefits studied in humans. It has been known for centuries, as the ancient Egyptians used them for medicinal purposes.
The biggest are lemons strong antibacterial, antiviral, and immune-boosting powers. Many weight loss supplements have lemon in them because lemon juice is a digestive aid and liver cleanser. Lemons contain many substances. For example, citric acid, calcium, magnesium, vitamin C, bioflavonoids, pectin, and limonene. They are known to destroy intestinal worms, blood vessels are strengthened by the bioflavanoids.
I could assume that lemons would have the same affect on roaches, an likely the health benefits would have an affect on breeding. BTW, you may grow marigold or "pot marigold" around your home, this also gives the same affect and is known to increase sex drive. To get the roaches to devour lemons, I would cut the lemon into small pieces and keep the peel on. Then I would dry them out ( be sure to prevent molding) and process them down into a powder and mix other ingredients into the lemon powder. Although, the roaches will eat lemons wet as well. I just like to avoid a lot of wet fruits due to the clean up.