Oscars will become used to eating one type of food and can be real knuckleheads when you want to mix it up a little.
in this case, you'll absolutly need to switch him to pellets. Feeding an Oscar only fish and bloodworms is not meeting his nutritional needs.
Your Oscar is waiting you out.
You'll cave and give him what he wants and what he's used to.
Here's the secret:
He wont starve himself. Dont feed him anything. You have to get him really hungry. Wait a few days, dont feed him a thing. Then offer some pellets. If he ignores them, then scoop out the soggy pellets, and repeat this process every day until he gets the point.
It sounds mean, but its for his own good.
He will eat them eventually. Trust me. They all do. Some of them will actually go without eating anything for 3-4 weeks before they finally cave in and eat the pellets.
There is a chance your oscar could be sick. So never forget to check your water parameters and double up on water changes for the next week or so to make sure water quality isnt the issue.