Do Insects Have Blood?
Yes. Not only does an insect have blood, it also has a heart that pumps the blood throughout its body. The heart is a tube-shaped vessel extending the full length of the body. It beats by contracting from one end to the other, thus forcing the blood along.
Few insects have red blood, though. Insect blood is usually green, yellow, or colorless. The blood is not carried in a network of arteries and veins, but simply filters through the open spaces in the insect’s body. As a result, the insect’s muscles and other body parts are bathed directly in blood.
Insect’s blood usually called hemolymph or haemolymph is mostly water, plus various other odds and ends like amino acids, ions, lipids (fats), carbohydrates, etc., as well as some pigments, but these are rarely very strongly colored. Hemolymph also provides a means of lubricating things and getting nutrients to cells and carrying waste away.
As you point out, mosquitoes do indeed have real blood in them after they have fed, but the red when you splat a house fly has a different and arguably more gruesome origin — that red comes from a pigment in the fly’s eyes.