This is an urban legend. The only way to document people swallowing insects while asleep would be to either 1. videotape a large sample people sleeping for the entire night and seeing them eat these bugs, or 2. perform an endoscopy on a large sample of people the very first thing in the morning to see how many insects there are in their stomachs. These studies were never done because they were considered frivolous, and nobody would pay for such a study to be done.