A young couple is just getting started and they are happy to find an apartment with more amenities than they expected, and in a more central location in the city. The rub is that it's an underground fallout shelter. The landlady, a widow who lives in the house above, explains that her husband built it during the Cold War; it even has its own air recycling and an automatic lock on the door that activates when radiation levels increase outside. The apartment has no windows, but it's very comfortable otherwise, and the two move in.
And once they are settled in, there's a muffled boom and the door locks. Evidently the city overhead has been destroyed. They are horrified, but remain safe in the shelter. The air continues to be purified, but food is going to be a problem eventually. Ugh, was that a roach? As the days pass, roaches become common, and then abundant, and food is running out. The husband reasons that the couple can survive by eating roaches, but his wife gags at the very thought. And she is growing more anxious; there is absolutely no news and she thinks the locked door may be some kind of mistake. He forbids her to open the door; that would admit radiation to the shelter. Eventually, in a tense argument, he kills her. Left with only regret and the swarming roaches for company, he despairs and commits suicide.
The landlady, who has been watching all along through hidden cameras, cleans up the apartment to ready it for the next set of tenants. She has a heck of a time exterminating the roaches.
I don't remember when I read this short story. It was in an English-language science fiction anthology and could date from the 1950s through 2010s.