Please don't feed found animals, although they are only marginally worse than pet-store bought live food.
Iguanas are strictly herbivorous, and should not be eating any kind of animal.
Pellets are also a poor choice. I'm surprised yours even accepted them, since most iguanas won't. You want to feed fresh veggies daily. Research the veggies you want to feed, if they're high in oxalates, they're a no-no. You want them to to get phosphorus and calcium in a 2:1 ratio. Or maybe it's the other way around. Point is, research, research, research.