Unless you live around Louisiana, you're probably getting frozen bugs.
More likely than not, they're coming from China. The Chinese farm them
in rice paddies just like shrimp. I can get peeled & parcooked tailmeat
at Wally world for about $8.00 a bag, frozen & cryovaced. I wouldn't
make nigiri out of them at any rate, the tails are rather small.
Probably the best way to handle these things is either in a handroll or
a maki. I chop up a bunch of tails, so they are in good sized chunks.
Then I add some mayo, mirin & hots, pretty much the same as for spicy
tuna. This goes into the maki with a generous helping of green onion
shreds, or shredded pea pods.

Jim