I also feed both pellets and bloodworms. However, I alternate days, since I feed my bettas only one time per day. If for some reason I feed two times, I alternate feeds.
My first betta, Temeraire, wouldn't touch pellets for the longest time and would only eat bloodworms. But then I started offering tetramin mini-pellets, and he ate those... I discovered he would not eat the brown ones, though.
They really go for the bloodworms, though, and it helps balance out the diet

I've yet to know a betta who refused bloodworms.