Lettuce really isn't a good choice to feed them to begin with. Iceberg really has no nutritional value whatsoever, romaine is a little better, but they need things like collard greens, mustard greens, dandelion greens, etc. I will add in a bit of romaine on occasion, just as a change of pace, but not in any large amount. The key for your guy may just be finding something he likes.....trying several things, but make sure the veggies you offer are healthy ones. Adding a bit of colorful things can catch their eye too....diced red peppers, shaved carrot, bits of squash. Sometimes, it just takes babies while to get used to eating their greens, you just have to keep trying!
I always offer their salads first thing in the morning, before giving them any crickets. Give them some time to eat that before feeding the bugs. If given the choice, they will usually fill up on bugs, then look at the salad like, "You expect me to eat that??" I've had some success sprinkling a few small mealies in with the salad as well....I don't know if it makes it look like the salad is moving, or if they aim for the mealies and end up getting a taste of the greens and deciding they like them, or if it's just like putting croutons on a human salad, but some will start eating greens that way too.