How does raid/bug spray kill roaches?

Question

does the liquid burn their skin or something like that?

Answer 1

Pyrethrins, which are a neuro toxin and piperonyl butoxide which increases the biological activity of the pyrethrins

Answer 2

It is a nerve agent. It is a painful death.

Answer 3

Most if not all insects breath through their skin. If your spray an insect with a  "corrosive" substance, this substance adheres to the insect's skin creating a sticky coating.  The spray chemistry causes a lethal effect on insects as they try to breath. Basically insects die "asphyxiated" by a lethal chemical coating on their skin. I hope this helps.