In most fics I read where a changeling is injured (or killed) the changeling's blood is usually depicted as being green, if any description at all is given.

Is it because they are similar in appearance to insects?

For a few reasons, this doesn't feel sufficient.
1) Changelings, while having features that resemble insects, they also carry a form that could easily be a pony's form if you took away the insect-like features.
2) It would seem a weak link in their disguise if their blood was green. All it takes is one small injury, and they are discovered.
3) An insect's blood is not actually green. It is red. The reason you see a bunch of green when a bug goes splat (such as on a windshield) is because its innards are of a greenish (or other color, usually yellowish) tint. The blood itself is hemoglobin based, and that would make it red.

What are your thoughts on this?

green blood is normally because copper in the main cell of the blood insect having a yellow blood i don't know the main material that make this color but whatever it is need to be a efficient oxygen carrier.
maybe the changelings have a green blood because the ambient that they live

4063708

3) An insect's blood is not actually green. It is read.

Oh ok.

4065393 corrected... and thank you

4065554 Not a grammar nazi but damn that was funny.

4065630 yeah... was a good pun only because of it being unintended lol

Oxygen transport in a conventional insect is not done by way of their circulatory systems. It's done by tracheae that permeates their tissues. Their entire bodies are one big lung. The problem with this kind of respiratory system is that it doesn't scale well. If an insect was as large as a human, it would asphyxiate. Insects don't have hemoglobin, because their blood doesn't carry oxygen.

When you get to larger organisms, a closed circulatory system is a must, as well as having that circulatory system serve as an oxygen carrier. But if changelings evolved from insects, then their blood color is completely up in the air. Furthermore, even if their oxygen carrying proteins were colorless, pigments would render its color close to pony blood.