No - invertebrates don't have "blood" though they do have hemolymph. Hemolymph flows around the body cavity, rather than through vessels such as veins and capillaries, and comes in to direct contact with tissues and generally it is not red.
Hemolymph fills all of the interior (the hemocoel) of the animal's
body and surrounds all cells. It contains hemocyanin, a copper-based
protein that turns blue in color when oxygenated, instead of the
iron-based hemoglobin in red blood cells found in vertebrates, thus
giving hemolymph a blue-green color rather than the red color of
vertebrate blood. When not oxygenated, hemolymph quickly loses its
color and appears grey. The hemolymph of lower arthropods, including
most insects, is not used for oxygen transport because these animals
respirate directly from their body surfaces (internal and external) to
air, but it does contain nutrients such as proteins and sugars.
The red you see from squashing, depending on the insect, could come from blood of other animals or (eye) pigments produced by the insect. For example, in my lab we have some Drosophila melanogaster with red eyes and some with white eyes (they carry a genetic mutation which represses the production of pigments in the eye) - if I squash the red eyed fly red "juice" is left on the desk, this doesn't happen with the white eyed flies.