I don't own a lionfish but the LFS I work at carries them. When we get them in usually the first thing I do is feed them rosie minnows. I hate to give them that crap but at least it gets them eating something.
Usually, within a week or so, with a little patience and persistance I get them eating frozen krill/silversides. Right now we have one left that we've had for a good amount of time that started this way. He eats anything that floats in front of his face.. krill, silversides, small pieces of brine, mysis, etc. Once they are on frozen marine foods they no longer get any freshwater feeder fish.
Even though live freshwater fish are a bad food for lions I think your plan is solid. If you do get one and it takes him sometime to get on to frozen don't give up.. eventually you will have success. Good luck!