It's transported by diffusion - transport of a liquid/gas from a high concetration to a low concentration. So that means that it doesn't need blood vessels because the blood will travel all around the body.
it's to do with the fact that insects are very very small, most gases needed for respiration can diffuse from the air straight into their cells and muscles via the tracheal system, which is like the blood system, but instead of blood being used to transport oxygen etc, the gases flow through the tube systems alone, kind of like the bronchiole system in our lungs. the tracheoles are smaller brances of the main trachea and they get to every part of the insect and due to the thin membranes oxygen can diffuse straight across them into the cells of the insect. as insects dont really have 'blood' but actual oxygen travelling through their tracheal system, and this is mantained as the respiring cells use up oxygen and this induces a lower concentration gradient at the ends of the tracheoles so its like a continuous supply of oxygen travelling down the concentration gradient at all times. oxygen enters the trachea through tiny pores called spiracles. this is also the method to which co2 is removed :)