The circulatory system of cockroach is not very well developed due to the lack of the respiratory pigment. But the need of a well developed circulatory system is compensated by a well developed respiratory system that is the tracheal system (spiracles, trachea, tracheoles) through which the respiratory gases are directly transferred.

Explanation:

Introduction:
The blood of a cockroach does not contain hemoglobin. Hemoglobin is a protein found in the red blood cells of most vertebrates. It is responsible for carrying oxygen from the respiratory organs to the tissues of the body. However, cockroaches belong to the phylum Arthropoda, which includes insects. Insects have a different respiratory system compared to vertebrates, and their blood does not require hemoglobin for oxygen transport.

Respiration in Cockroaches:
Cockroaches respire through a system of air tubes called tracheae. These tracheae extend throughout the body and deliver oxygen directly to the tissues. Unlike vertebrates, cockroaches do not have lungs or a circulatory system to transport oxygen through the blood. Instead, they rely on a network of tracheae that allow for the direct exchange of gases between the body surface and the tissues.

No Need for Hemoglobin:
Since cockroaches do not have a circulatory system that transports oxygen through the blood, they do not require hemoglobin. Hemoglobin is only necessary in organisms that rely on blood to carry oxygen from the respiratory organs to the tissues. In insects like cockroaches, oxygen is delivered directly to the tissues through the tracheal system.

Other Means of Oxygen Transport:
While cockroaches do not have hemoglobin, they have other means to ensure efficient oxygen transport. One such mechanism is the rhythmic contraction and relaxation of their body muscles. This movement helps to circulate air through the tracheae, allowing for the exchange of gases and ensuring sufficient oxygen supply to the tissues.

Conclusion:
In conclusion, the blood of a cockroach does not contain hemoglobin because it does not require a protein-based oxygen carrier. Cockroaches respire through tracheae, which deliver oxygen directly to the tissues. Therefore, the correct answer is option D - "It has some other means to carry oxygen directly into the tissues."