earthworms definitely have more nutrition, they make great healthy snacks but like said before i think a varied diet is best, stick with pellet for staple and feed all the bugs you want as treats, that's what i do and my fish are growing like weeds

since i moved into the city i can't use any of the bugs i find outside since the stupid HOA people spray pesticides all the time, but back when i lived with my parents in the country my fish got all the grasshoppers, crickets and earthworms they could want, so as long as you know nothing is being sprayed with pesticides then go for it