Don't feed wild caught prey, no matter what it is or where it came from. You don't know what it's come into contact with, ingested, ect. They can carry chemicals and parasites that can cause serious harm to your pet.
I was just about to ask this as i caught a couple wild tan colored roaches and was going to feed them to my King Baboon but she wouldn't eat them. I live in Arizona and there are potential feeder bugs galore. Guess i'll steer clear though.
I would leave those roaches alone. If you want your tank roach free, that species is particularly fond of burrowing (or escaping if it is the pest kind like the German Roach) and may escape you and your tarantula's sights.
Always best to avoid wild feeders just to play it safe. If you were to breed them for a generation or two and then try to use them as feeders I think that would be alright, but I wouldn't recommend straight out of the wild.