@Allen David
Oscar's are like dogs, give them something that fits in their mouth, and it'll get there eventually. Oscar's should not be fed live fish, due to fats, and potential disease from "feeder" fish, you seem to already know that. Oscars are somewhat sensitive to water conditions, with that said, what are your water conditions, and was the tank pre-cycled, if so fish or fish less. Oscar's have a large bio load, and if you cycled fish less, it'll take a week for the bacteria to catch up, maybe more.
You should see him eyeing the top of the tank most of the time, they feed off the surface. If the Oscar does, try some large crickets from your lfs or lps. they'll kick around for several minutes before drowning, usually the slightest ripple gets my Oscar's attention.
If he won't doesn't pay attention to the surface of the water. There are a couple of things you can do. Try frozen blood worms, thaw them in a cup, and introduce about half a block at a time.
If that fails to elicit a response, and sinking food pellets have no effect. You can do a few things.
First, if you have a quarantine tank, isolate him, and slowly increase the salinity using freshwater salt, or sea salt that is free of yellow prussiate of soda. Increasing the salinity will act as a natural laxative. With the stress of moving, and being in a new habitat, he could have a blockage from holding stuff in, and or consuming a rock or in-edible object.
If you see a bm perform a few water changes over a day or two, to return the salinity to 0, and offer him crickets, and cichlid pellets while doing so. Remove uneaten food after 5 minutes. If after a few days he still has not eaten, offer him some canned tuna \ trout, drain the liquid, and offer only an amount the size of his eye. If he takes that, then soak some pellets in the juice of the fish and offer one or two.
If that goes well slowly wean the Oscar off the soaked pellets. If he doesn't take the canned meat, or the soaked pellets, you might have to use fresh fish from a deli, try a little to begin with.
If all else fails, after 3-4 days of starvation, gut load both feeder fish, and ghost shrimp. This is done by only feeding them the desired food until they no longer eat. and offer both to your Oscar.
Keep us up to date, maybe start a new thread