I think this is possible. Go buy a plastic cockroach and try to overcome your fear. Most phobias are completely irrational. I myself have/had irrational fears so please do not be offended when I say your fear of cockroaches is irrational. It is actually meant to be a positive realization. But if you want to be afraid of them forever you will, if you don't want to you don't have to.
The best way not to get bullied over a phobia is to get over it. Helps you in the long run too. There's a type of therapy where they expose you to your phobia directly. You're nervous system eventually can't keep up the response to the phobia and you slowly get over it.
That's how most people cure their fear of flying. Might want to look into it.
You can't really count on people to be considerate when it comes to this. Look into fear-aversion therapy. There are various ways to deal with a phobia, but doing it with a therapist by your side, who might know what technique will work best for you, will definitely help.
Phobias are tough my brothers friend Gavin has a phobia of wasps and bees and once when we were in a field he ran screaming his head off, and Gavin is a massive guy too. I shouldn't laugh but he only got attacked by a fly. :') I used to have a phobia of spiders but when I saw pictures of a jumping spider which is really fluffy I got over it...slightly. The way to get over it when they laugh at you is too laugh too that's what I do if I make a fool of myself. Other then that bullies will be bullies and will make fun on anything you they can think of, if you show you aren't bothered they'll stop.
The best way to cure a phobia...and in your case, which is cockroaches, you have to get used to seeing them and dealing with them.
I know it's very difficult. I also have this same phobia - I was reading a tourist book once and saw a picture of the blasted things. I ended up throwing the book off my hands, like a jolt, and crying for at least 2 hours before I calmed down. But since one of the houses I've inhabited are kinda infested with these blasted things, I learned to deal with them better. I still find them disgusting, but I'm coping.
About fake ones thrown to you, yes...they suck SO MUCH. Just control your screaming. You'll be fine.
Don't broadcast your phobia if you're sick of being made fun of. I have a friend with a phobia of moths who used to scream and wriggle and make a giant scene whenever one came by, and surprisingly the only thing that happened was a whole lot of mockery directed at her. Now that she's no longer a child, she's learned to act as any normal adult would. She still fears/hates moths, but she doesn't need to scream and dance around like her extremities are on fire to prove that.
The boy from your class egged you on with the fake roach because he knew you'd give him the response he wanted. When you make a big deal out of nothing, you should expect others to not understand and to poke fun at you. They aren't trying to be malicious, but they don't understand your irrational fear and they probably won't care if they're not friends with you. The only thing you can do in a situation like that is to stop freaking out and giving everyone else a reason to pick on you. If roaches scare you that much, you might want to tell a counselor or parent so that they can suggest some kind of therapy for you to overcome your fear.
Should you encounter another roach like in the closet, you need to take control of yourself and find someone who can deal with it, like a teacher or a friend that isn't squeamish with bugs. Make up a calming chant in your head, take a small walk, redirect your attentions somewhere else - whatever you need to do that doesn't involve making a scene or making the fear worse than it already is.