Cockroaches, like all living things, have fluid inside them. Unlike humans, they actually have a far higher water content than us. They also need more water than we do normally as we can store our water for some time, and insects cannot. Water is very important to live. If you have ever seen a dead body that has been dead for some time then you will know how important water is. For insects water is a constant need, they access it regularly and need a place where they have ready access to it. This is the same for most animals, insects and rodents which the exception of the house mouse. The house mouse can go years without drinking water and while it’s an interesting fact, how they survive like that is still unknown. Unlike camels who can store water in humps, the mouse has no specific water storage organ.
The process of treating cockroaches is complex. Not all of the pesticides we use are going to cause moisture loss but when an insect dies it naturally loses moisture so it appears that it died from that effect. However, most pesticides function on other terms. A neural agent for instance uses the fact that insects’ neurons or their brain are attached to the soles of their feet. A direct connection so they can taste with their feet. This allows exterminators to spray a simple neural toxin on the walls that are entirely safe to mammals but will kill any insect that walks on it. Other chemicals like insecticide dust, also known as silica dioxide or diatomaceous earth if found naturally. Both are fine but naturally occurring silica dioxide can be food safe. This chemical is not going to harm a human who eats it or walks through a mound of it. But on a more microscopic scale, the pieces of silica are actually like razor blades. They can get caught in the insect’s limbs and break them off as well as scratch the waxy layer of their carapace causing them to lose moisture
When this happens their bodies drain without relenting. While mammals and other creatures like birds and especially reptiles can regrow skin and even limbs and organs insects cannot even be repaired in that way. A carapace cannot be stitched back together as it is hard and rigid. An insect doctor would not be able to do very much to help an injured insect.
However, if you have insects in your home you don’t want and have had treatment then the dead insects are likely to all be desiccated but not all pesticides use that as the active killing agent. If you want to learn more about the functions of pesticides you can call an extermination company and find out the active ingredients in each chemical that is used.