No feeder insect should smell particularly bad if they are kept properly. Flies are probably the only exception if you intend culturing maggots which do smell bad naturally.Do a search for curly wing flies. These are generally supplied pupated (castors) and hatch into flightless house flies. Not the easiest in my experience though. Any type of housefly is also good in that they won't make colonies, just fly out of an open window or door. Some fishing tackle shops sell casters that will hatch into flies and do away with the maggot issue.
IMO the best thing you could do would be to go to a local pet shop and ask to see a mantis feed (assuming they stock one) or to bite the bullet and get yourself one then you'll have no choice but to feed it
With other feeder insects the debate rages on. Some people (especially in Europe) have had terrible problems with crickets. Locusts come in a variety of sizes but can prove too strong for mantids (you often need to break their back legs befpre feeding) and some mantids won't touch them. I've never seen an earthworm up a tree so I doubt these are any good
What country are you in btw. Wherever you are I'm sure someone could direct you to food suppliers.
HTH
Huw