My female axolotl sometimes has her gills forward like this when she is sitting in the filter current, and she is the picture of health in every other way. If that's the only thing wrong, I wouldn't worry too much, and just keep an eye on her.
You might try turning down the power on the filter.
Also, regarding eating worms, I will pass along the advice someone gave me when my male was being a picky eater: of course he won't eat worms if you are feeding him something he likes better.
Try skipping a couple days of feeding (axolotls can go for a relatively long time without eating, so this is not dangerous), and then try offering an earthworm, perhaps blanched for a second in boiling water to kill it so it doesn't wiggle or secrete slime, maybe chopped up if your axie is on the small side.
Did the trick for my boy, and earthworms are probably the best staple diet.