It would be fine. But it would be bad because the frass would build up on the paper and make it more difficult to clean. You would have to clean it more often than usual. It would also be hard to find the baby nymph roaches. They like to hide and it would be harder to find them since they would be hiding under the layers of paper mache. You can use a lot of things around the home for roaches. Paper towels rolls, toilet paper rolls, and copy paper that is lightly crumpled into a ball.