Out of the list of insects I'm using, waxworms are definitely the highest, so those would be a good option. Mealworms & mealworm pupae are pretty high as well. Phoenix worms and blue bottle fly larvae (called 'spikes' as well, I buy them from Rainbow Mealworms, though I just found another source to check out next time I order) are next. If you're interested in trying roaches, you might consider rusty red roaches (I think also called Red runner roaches) - they're a little higher in fat than dubia roaches, around the same level as phoenix worms & spikes.
If you're open to ordering meat online as well, I order whole grinds from Hare Today. Some higher fat meat that you could try her on are duck, mutton, and pork. Chicken and turkey are both around medium in terms of fat. I have Bindi on chicken, duck, rabbit, and salmon - the latter two are both very low in fat, so I can adjust how often she gets different proteins as needed to help maintain her weight. She seems to be holding pretty steady currently though, I'm almost done introducing salmon as the last protein.
Edit: I meant to mention butterworms, in case you want to look more into them. I'm currently avoiding them as we don't seem to have clear information on their nutritional status. I've seen some sources say they're low in fat & some say they're extremely high. Some also claim they're high in calcium, but that's not common for soft-bodied insects & I'm very dubious on that without any explanation backing that up. The high fat claims seem to be more likely to me, which is why I'm mentioning them, they're said to be even higher than waxworms. Another reason I'm a little hesitant on them is they're irradiated before shipping to the States, to prevent them from changing into pupae, then moths, so they don't become invasive. I'm not sure I want to feed them to a pet after they've been irradiated. But they're clearly being bought as there are still sellers offering them, so it may not be an issue at all.