Questions first, then answers

(1) Is he in q-tine or in a dispaly tank?
(2) How big is he?
(3) Was he eating in shop, and how long has he been in captivity?
Why these questions?
(1) If he is in q-tine, which is the right thing to do, he will be more shy and might not recognise what you are feeding as food - as he cannot see other fish eating it.
(2) If he is a decent size, and you describe him as fat and healthy, then a few days to a week starvation is going to do him no real harm..... although try him regularly with food anyway.
(3) If he was eating in the shop, ask them what they feed. You know he will take this food eventually, and you can later wean him onto other food stuffs. If he has only been in captivity for a short time, he might not yet recognise food stuffs, and he will be super freaked out..... so it could take a while for him to settle down and start feeding.
Generally, as aquaknight says, triggers are very skittish when first introduced, and will take a while to feed. Try and offer food as discretely as possible, then slowly move back from the tank, out of his line of sight...... if you are peering in the glass at him he'll freak out.
The fact you;ve bought a blue throat hints that you may intend this for a reef at some stage - if so I would refrain from feeding him anything alive, or anything that looks like it might be alive..... if you can break the fishes association between shrimps, crabs, snails, clams and fish as food, then you will stand a much better chance of maintaining a "reef safe" trigger...... and you never know, even if not inteded for a reef now, you might decide to add critters and a few corals later.
Bottom line, don't worry, once he settels he will feed like a machine!