Crayfish
The current evidence suggests that insects have a crustacean ancestor. One of the major traits separating insects from crustaceans is the tracheal system of insects. This series of tubes forms an internal network that can deliver oxygen to every cell in an insect’s body. Marine crustaceans transport oxygen from the water through their gills. Once inside, the oxygen is transported by oxygen carrying proteins such as crustacean hemoglobins and hemocyanins.
The tracheal system is adequate to provide oxygen in most insects, so oxygen carrier proteins may not be necessary. However, hemoglobins or hemocyanins coexist with tracheal systems in insects. What do they do? In some cases, the proteins may be diverted and adapted to other purposes. In some insects such as chironomid larvae (black flies) they have a role in respiration. Oxygen carrying proteins in insects may serve as an oxygen reserve or buffer against high oxygen demand.
Living With Insects Blog 