|The following is based on Fallout Shelter and some details might contradict canon.|
“For your training mission, Vault-Tec asks you to prove yourself as a worthy Overseer and kill a Glowing Radroach.”
After arriving, dwellers will go through rooms filled with radroaches. Eventually, they'll come across a glowing radroach. After killing it, dwellers can go to other rooms for loot and to kill more radroaches, or return to the vault.