Yes, baby powder can kill cockroaches. Although cockroaches are very strong and incredibly durable, they can be easily affected by baby powder. Cockroaches are not centipedes or onychophorans; they don't have lungs, but instead, they breathe through the tiny holes on their legs.
They are easily affected by any fine powder like flour, talcum powders, and baby powders. Once they inhale any of these powders, it blocks the holes and suffocates them making breathing impossible.