Yes things can live in feed. Imagine my surprise one day when I opened a week old zip top bag of dog food and found it covered in worms grubs maggots whatever you want to call them. Needless to say I changed foods. These were of a different kind obviously. Almost like silk worms they spun webs or silk or something and made cocoons. My guess if the worm you are seeing is probably a similar bug. And could be from a moth egg or something of the like.