Allow me to preface this by stating that I have NOT tested this for myself, but on paper it makes sense, and I'm doing this this evening. Should you heed this suggestion, proceed at your own risk.

If Japanese beetles are in your area, get a shop vac and add water and dish detergent. As sunset approaches and these pests are sluggish (pun intended) vac 'em up to go directly into the suds of doom.

(Credit goes to the Wisconsin Garden channel via YouTube👍🏻)

We usually have a lot of them each year, but this year so far they have not been a huge problem.

I have used my indoor vacuum for years to suck up flies, mosquitoes, etc. It is a clean way to get rid of them. The one bug I really HATE to see are the so-called Palmetto bugs. They look like huge roaches to me. In fact, I believe they are roaches with a fancy name. I am terrified of them coming indoors. Do not like to see them outside, either. However, I really slowed down the problem by making sure the trash trees in back of the property get watered. I was told the reason they come indoors is to find water. It seems to have worked for the most part. Last year I only had a couple get inside all year. So far this year, none of come inside yet (I hope I did not jinx myself just now! )

You could suck them up on a vacuum, too, but I would not want to deal with them in the end. I would rather just keep them from coming into the garden and the house.