Yes, one of the available horde pets is, in fact, a cockroach.
The merchant is in the Undercity, beneath the bridge to the "Guild Creation" and "Tabard" area, in the Trade Quarter.
Only one kind of cockroach for a stupid amount of 50 silver. Who would want to pay that much for a gross bug? *shudders*
I'm just going to get away from him now. Eewwwww.