It really isn't such a good idea to feed a lionfish baitfish caught in the ocean, you run the risk of introducing parasites that way.
I've always fed lionfish black molly fry. Especially the very small lions (<3in) that were too tiny to swallow anything bigger.
Mollies are great breeders, especially in brackish conditions. Just make sure you switch your breeders so that you don't exhaust them. The way you do this is just put some fry aside and let them grow up to reproduce. Every so often you might have to enhance your breeding stock by purchasing new males/females when the old breeders start looking a bit reproductively hargard.
Personally for me I've never had much success in getting a lionfish to eat something frozen, but it is worth a shot. Occassionally if I had some raw shrimp, I would get them to eat it by "accident" by making it float in the water during feeding time, and the lion incidentially got it when ambushing something else.
~~Colesea