Sharon - Where feeder fish are concerned, especially when brought from the petshop, they should be quarantined for minimum 30 days, to ensure they are disease free and have no parasites or anything that could affect your axolotl. This should be standard practice to ensure your axolotl is kept healthy. After the 30 day period, ideally you should then attempt to breed them yourself so that you can then feed the live offspring from your own source directly without fear of contamination or making your axie sick.
Some people also make the mistake when introducing companions/fish etc... of pouring the water that the fish/companions travelled in from the petshop directly into their tanks. This should be avoided, as the water, despite it being from the petshop could contaminate your own axolotl tankwater = invariably causing your axie to become sick.
Stephen - I know some people feed small chunks or slivers of raw fish to their axolotls. You could try a little, just make sure there's no bones in it. As for worms, have you tried phoning garden centres or hardware stores that sell the compost or wormfarm bins? These places should be able to tell you where you can get a large container of worms so you can setup your own wormfarm.
What is your tank temperature and water parameters = ammonia/nitrite/nitrates? Maybe there's some other thing that could be affecting it?
Also, another thing with adding feeder fish and leaving them there (if they're uneaten) = if they remain in the tank, they also add more waste to the tank, so you have to be vigilant about checking your water parameters, especially if you have a small tank and when the weather starts heating up.