If it's winter and insects are hard to find, then it's probably hard for scorps to find them in the wild. They should be ok with fasting for a while, especially if they cool down just a little bit (like they would in the wild).
If you feel they have to be fed, you can try offering them a little bit of meat, but only sparingly and not often. They can digest vertebrate meat, but it's not something they commonly encounter.
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