No blue cheese does not contain any worms in it unless maggots got into the blue cheese from flies.
That can happen with other cheeses as well if left out or even butter.
I had forgot to put some cheese into refrigerator one night after using part of it and then the next morning it had maggots crawling in it.
The maggots were laid into the cheese overnight by flies and not from the factory as the cheese had no maggots before that.
So you should make sure you put your blue cheese or any other cheese up into the refrigerator after you use it and have any leftover to prevent maggots from getting into it.
But blue cheese from the store should not have any worms in it and if it does you need to get a refund from the store because those worms would be maggots from flies.