I do not have any expertise in this area. But I am very much familiar with TEM. So I've given my point of procedure and provided some sources which may help you.
Conventional TEM Sample Preparation Protocol
Chemical Fixation
Dehydration
Embedding
Sectioning Ultra-thin sectioning (60-100 nm thickness) using diamond knives
Staining Double staining with: Uranyl acetate (2 minutes) Lead citrate (1 minute) Enhances electron contrast.
Imaging Analysis at 80-120 kV accelerating voltage in TEM
Michielsen K, Stavenga DG. Gyroid cuticular structures in butterfly wing scales: biological photonic crystals. J R Soc Interface. 2008 Jan 6;5(18):85-94. doi: 10.1098/rsif.2007.1065. PMID: 17567555; PMCID: PMC2709202.
No, cryo would make no sense, because butterfly wings do not contain water. They can be viewed as a material (consisting mostly of chitin) because they are totally dry. Therefore you do not need a chemical fixation either. You can use a very simple embedding protocol (Siddique et al, Scientific Reports | 6:36204 | DOI: 10.1038/srep36204) with Epoxide resin before cutting ultra thin sections for TEM. In our paper mentioned above we imaged the sections in an SEM, but of course a TEM can also be used when the sections are thin enough, meaning about 70nm. Hope that helps!