You sure it was a worm and not organs? If it was a worm then the source your are getting your rodents from is substandard. I would change sources and choose a more reputable feeder source. Thankfully a completely frozen rodent should not have any adult parasites or ovum left alive.
Perfect Prey
Big Cheese Rodent
Layne Labs
These are all top quality rodent supply vendors that would never sell compromised feeders.