Every bag I find everywhere, the mealworms are from China. I have a friend who said she and her dad used to grow them for fishing bait. Why aren't there any produced in the U.S.?
Raising mealworms is not difficult, nor does it take a lot of room. But it helps a lot to plan ahead, so that the purchased worms (don't get the super worms for this) can become beetles, and their eggs can grow to feedable size. That way you will have plenty of food for the birds. Finding someone that raises and could give you some pupae, beetles or eggs (I always had way more than needed of these, and would have been happy to offload) would be a great shortcut.
I used two (roughly) 10 qt. plastic containers so I could separate the generations, but a single works too. A wire colander, or similar, is useful for sifting out the frass from the bran and worms. A good freezing of the medium (I liked bran the best) is important, as a mite infestation can be a nightmare. Carrots were my favored food for the worms, because the moisture content was not so high as to encourage molds.
When we had nesting bluebirds, they got offered a dozen or so worms per day. Multiply that through two broods, and the budget would take a whacking if they were all purchased. The bluebirds would have been happy to devour more, but I tried to encourage them to eat a more balanced diet.