The first written use of 'roach' to mean 'partially smoked joint' was in a 1938 New Yorker Magazine article about marijuana smokers in the Jazz clubs of Harlem. In this telling, 'a roach' was so named because of the resemblance a mostly-smoked joint has to a cockroach . Source Leafbuyer.com
So a clip used to hold a mostly smoked joint is a roach clip.