This is a very rare case and it is better imagined than experienced. It is not a new thing to have the sensation of something crawling into the nose but to burrow into the roof of the nose may be the worst case scenario.
A report has it that a 42-year-old woman who lives in Chennai, India, woke up in the middle of the night because she felt an odd "crawling sensation" in her head which turned out to be a real, live cockroach in her nose.

She further narrated that; "I could not explain the feeling, but I was sure it was some insect. There was a tingling, crawling sensation. Whenever it moved, it gave me a burning sensation in my eyes." The woman also complained of experiencing a severe headache and difficulty in breathing.

Being the normal step to take, she visited several clinics before the doctors found out the jaw dropping cause. The cockroach had "burrowed into the roof of the nose, almost near the skull base, which is the dividing point between the brain and the nose," Dr. M.N. Shankar, the ear, nose and throat physician who treated the patient at Stanley Medical College in Chennai, said.

To remove the cockroach, doctors in India first ran an instrument called an endoscope up the woman's nose, so they could see the insect. Then, they used small forceps and a suction machine to remove the bug. The doctors also took a video of their procedure.
It is now Advised to come for medical checkup anytime something wierd is felt in the nose, ears and eyes.
Info source;http://www.premiumstech.com/2017/02/how-cockroach-burrowed-into-roof-of.html?m=1

Women and cockroach