Pickleworms do that, Debbi. Sorry to say it's really hard to grow anything related to squash, melons or cucumbers down here in FL because we have not only pickleworms but stem boring caterpillars as well. I've given up trying to grow them except maybe early in the spring before the pests are quite so active.
You can try spraying with Bt (get it as a concentrate at any garden store) and it is rated for use on organic edibles. But it may be too late.