Ok I've done a bit of research today on locusts. It's pretty interesting stuff. I'm actually fascinated with them now.
If you'd like the closest thing to the locust bred in europe(which is Schistocerca gregaria) you may want to check your backyard.

The genus is only found in the Americas except for the african desert locust(Schistocerca gregaria).
If you live in the right area you could catch your own to breed.
I'm going to attempt it.
Lucky for me there are at least 3 species of schistocerca in my local vicinity.
I haven't found much care info on them. But I hope this info is helpful to some of you.