An insect's nose is called a spiracle and is located along the sides, one hole on each side of each segment. They do not have workable lungs as we do, where we force air in and then expel it. The insects's method is called diffusing. The air just wanders in by itself, but then they don't need much. Since this is an inefficient method, bugs don't get very big. YES!!! But in the tropics where there is a higher concentration of oxygen, they do get bigger. Lots of plants give off lots of oxygen, it's their waste product. Plants need carbon dioxide to live, but insects are like us, consuming oxygen.
Any soap, such as Dawn is a surface tension breaker. If you break the surface tension over the spiracle, you cut off the bug's air supply. Trying to drown a bug in water often doesn't work, as the surface tension over the spiracle is in tact.
Marcia 1968 Entomology UCD