You can also do this with praying mantises, but they come as an egg nest. Put them under some leaves and a week or two later baby mantises everywhere eating all the bad things. After a couple months there's always a few big ones that stick around. Surprisingly intelligent and curious little things.
There's no pre-existing market for "a bunch of stink bugs", however ladybugs are useful for non-toxic pest control (they'll eat aphids), so they can be ordered via mail.
Just because postal regulations permit them to be mailed does not preclude other reasons why that action might be illegal or expose you to legal liability.
There are lots of actions that are legal in isolation that become illegal when you do them to other people, particularly when done with malice.
Digging up my residential address or sharing it with other businesses for any purpose other than to render services (e.g. to send a package that I ordered, you might need to share it with FedEx) is harrassment IMO.
So it's legal to just, say, mail a bunch of stink bugs and roaches and fruitflies to businesses that send you junk mail or <insert business you hate>?