This is a myth. Squashing a cockroach won't release the eggs. They'll die with the rest of it. The rumor likely emerges from the fact that seeing one means they've reached a dense enough population that you're going to see lots. However, there are plenty of reasons not to, mostly around the fact that it's largely ineffectual. Better to clean, remove sources of water, block points of ingress, and call an exterminator.

EDIT: typo. Ineffectual