Most aphid species specialize on one specific host plant species or a range or closely related hosts. You would almost have to buy them from a source like theblackfrog2013 suggested unless you are certain that a population of aphids are using a safe host plant (remember,even if the fruit of the plant is safe to eat, the stem and leaves can be highly toxic). As Gail as pointed out, plants are often well defended against their phytaphagous enemies and often the insects who specialize on these plants can sequester the toxins for use against their own predators. Probably best to stick with known, safe feeders. I can't imagine aphids are all that nutrient dense anyway since they basically just feed on sugar water throughout their entire life.

I know Brian was not suggesting this, but just to clarify, never feed anything that uses eggplant as a host. They are from the same family as tomatoes, peppers, and nightshade (Solanaceae) and contain toxic metabolites that would likely kill your pet if you collected an insect that had previously fed on the plant material.