How are you defrosting the pinky? Are you just leaving it out to defrost, or are you defrosting it in warm water, or in a baggie in warm water?
Sometimes just changing the way you defrost can make a big difference
I would suggest leaving the hatchling alone, no handling etc for 5 to 7 days, just change it's water every other day without disturbing it. He/she needs to get used to it's new surroundings.
Then, when the 5 to 7 days is over and he's had time to settle, lift him/her gently into a small feeding container with ventilation holes and a secure lid. Defrost the pinky in warm/hot water, either put the pinky straight in the water or put it in a baggie and place that in the warm/hot water, not boiling water though, it will only take a couple of minutes or so to defrost.
Then while the pinky is still warm, pop it into the feeding container, close the lid and walk away and leave him alone to eat.
Check back on him/her after half an hour or so, if it's eaten, then gently place him/her back into it's home and leave him/her alone for another 3 days to digest in peace.
If it hasn't eaten, leave it in the feeding tub overnight and check on him/her in the morning. Hopefully you will find a nice fat hatchling and no pinky in sight
If you do all this and he/she still doesn't eat, then come back and let us know.
If he/she does eat after this, come and let us know as well, so we can congratulate you
Good luck and best wishes,