Gemma was picky with treats too at first, but now she's kind of a chow-hound for anything except Ziwipeak, lol. I just carried around pieces of her Acana kibble for training and that worked for us.
Now as an afternoon treat, I just started giving her these 100% dried duck breast fillets and she really enjoys them and they clean her teeth well. They are big so I just rip them in half and she will be chewing on a piece for 30 minutes before she's done. You could rip off tiny pieces to use as training treats. This is the link to their website if you want to see:
Pet Munchies | Treats
Gemma loves cheese too, but that isn't ideal for carrying around in your pockets all the time. I would try something like dried meat/jerky treats. Along with being tasty, they're very healthy as well.