That's what I said. But my GM said no.
Let your GM take a look at the Deathweb, from Bestiary 3. It's a spider exoskeleton that's somehow animated by a swarm of smaller spiders, all undead. So, if you can't animate spiders or any vermin at all, how come it's there, at CR 6 and spitting your GM in the face? ;-)
In case somebody else had the same question about casting Animate Dead on bugs I've decided to cast Animate Thread and point out that there's now an Exoskeleton template which can be used when animating a vermin which has an exoskeleton. Unlike a regular Skeleton, an Exoskeleton can fly using wings. It also gets Toughness and bonus hit dice like a Zombie but without gaining the Staggered quality.
A PC in one of our games has recently created a Colossal Exoskeleton, and its offensive power is pretty terrifying, especially since it could easily be turned against us by an enemy with Command Undead. Defense, on the other hand, is pretty horrible, AC 13 I think. It might be tough to find or make Colossal armor though, and I think that since Vermin aren't generally proficient in any type of armor that an Exoskeleton wouldn't be either.