It's possible, but I don't think cicadas will hurt your dragon. I know that in certain parts of the world, people eat them.
Aside from our usual feeders, I have wittnessed outdoor raised dragons eating fence lizards, small birds, wasps, velvet ants(flightless wasps), earthworms, deer mice, snails, bees, flies, black widows, red and black ants, butterflies, etc., with no problems. We also have cicadas, and im sure they have eaten them too. Of course, I do not reccomend intentionally feeding most of these to dragons.
I feed my dragons food items from outside all the time. Mostly flowers. Some have aphids and other insects already on them. It boosts their immune system, provides added nutrition, and gives them some stimulation.