IME, most critters don't go for the can o' worms. I also don't think those would be very nutritious for the long term. "Mealworm" can be a variety of grubs. The large, or "king" mealworms are the only ones of nutritional value for reptiles(though these may indeed be what you are feeding your gecko). I have never used an on-line source to order mealworms, but I don't see why it would be a problem except in very hot/very cold conditions
I understand that the gecko is being picky at the moment, but I would seriously attempt to get it feeding on other things such as crickets, tomatoe/silkworms, etc. Like they say, variety is the spice of life.