Is there a fly that lays its eggs in a caterpillar?

My boys caught two salt marsh caterpillars, shortly after we caught them they spun cocoons. Now all the sudden there are 5 flies in the cage! We live in Texas and I have never seen anything like it. There is no way at all for 5 flies to get into the cage, it's a bug cage and has been shut the entire time. My boys didn't put them in there. Is there a fly that lays its eggs in a caterpillar?