This sounds so odd... I have owned 4 oscars, have one now. Every single one of them ate everything that fell into water, let alone the fish crack that is bloodworms. The only time I had an oscar not actually eat was when he was really sick. If I had an oscar that didn't eat bloodworms I would be extremely worried. How long have you had them in your tank for?
I have seen picky fish before, but none of them refused bloodworms.
Had them in there a week now. I've saw mixed reviews where some people have said they will eat anything and also some people say how they find them to be fussy at times.