What is most of your blood made of?
Most white blood cells are made in the bone marrow. Some are made in lymphatic tissue, including the thymus gland, lymph nodes and spleen. Others are made in a tissue called reticuloendothelial tissue which occurs in various organs including the spleen and liver.https://www.britannica.com/science/blood-cell-formation
Grasshoppers have an open circulatory system like most insects. This means that the organs are bathed in the blood rather than being supplied by blood vessels. The blood is referred to as haemolymph and it is made up of most of the bodily fluids. So, no, they don't have blood vessels (or if they do, they only comprise a small part).