Do hedgies absolutely NEED bugs or notWorms are not a must, though hedgehogs love them.
You can still have a happy healthy hog with roaches, crickets, locusts & even woodlice/isopods!
Do keep in mind that they have to be live bugs. You can purchase them live, gut feed them, and then put them in your freezer if you’d prefer - but you have to purchase them live for their optimal nutritional value (as opposed to dried or out of a can).
If you’re okay with that, then you can totally have a hedgehog without the need for worms.