"Bug" commonly refers to terrestrial arthropods in general (e.g. spiders, centipedes, and other non-insects) and can sometimes even extend to earthworms and other small invertebrates. It is not a synonym for insect.
Crustaceans fill a similar niche in marine environments to insects on land. It is common to call crustaceans sea bugs in jest. We don't need to always be taxanomically correct. Have some fun with your words.
https://en.wikipedia.org/wiki/Crustacean