Poking around looking for grasshoppers I find conversations saying it's illegal to transport locusts (another common name for grasshoppers) across state lines.
I'd ask local fishermen if any of the live bait shops carry them. It might be an alternative market for a small breeder to sell at. Particularly if most internet sales are out of bounds.
Couldn't resist poking around a little more. This site
http://www.bugsofamerica.com/prices.html has three species that will be available later this year (June and August).