I came across one of those just now. I logged on to see if anyone was having this issue, and there you are! It started in an empty storage room in my vault, and then spread to a nearby room. Though, usually if that room is occupied the radroaches don't spread but this time it did to like 7 other rooms. Luckily I am very far in the game so once it hit the rooms with dwellers equipped with massive dmg weapons they all died.
I don't know if this works on radroaches, but I've seen people say that immortal fires can be extinguished by shutting down the game completely and reopening.