That would not be a good idea. Most wild insects carry a variety of parasites and other illnesses that could be transferred to your fish when he eats them. And encouraging certain wild ones, such as mosquito larvae, to settle near your house so you can catch them more easily can spread dangerous human diseases such as Zika. There are also issues nowadays with wild insects being tainted with dangerous pesticides.
If you want to feed live insects, it would be best to buy some captive ones that are specifically sold as feeders and start a culture in a controlled indoor environment from those, and raise and care for the insects yourself to ensure they are healthy, not carrying anything that would hurt your pet, and that the insects themselves are properly gutloaded for max nutrition. Brine Shrimp, White Worms, Vinegar Eels, Wingless Fruit Flies, Redworms, and Grindal Worms can be sourced with either a starter culture or eggs meant to be raised as feeders, and are fairly easy to raise.
If you don't want to go to the trouble of all that, then you can simply purchase frozen insects that were raised in captivity and are guaranteed not to pass on illnesses. Nearly all pet stores carry these.