I've killed Master Gee the Invincible in Pirate's Booty DLC, but I do not get Master Worm Food challenge. Gee's Arena does not open after the fight, and I have to leave the game.
The challenge is bugged as of now, February 2, 2013, game version 1.3.1. (Note that fixes can arrive via network, without actual update to game files.)
It only registers if Master Gee is killed by weapon damage, not acid from worm pools. As Master Gee has absolutely insane amounts of health (speculated to be in the billions), it is very hard to do in TVHM.
It is, however, quite possible to achieve. In Normal difficulty, Master Gee is level 32, and his health pool is much more manageable. It is recommended to use your best level 50 damage-dealing build with The Bee to minimize the chance of acid stealing your kill. It is still a possibility, so don't get too upset if that happens. You can put less stacks of acid on Master Gee, but this would mean more live worms -> bigger chance to get your Bee scratched at the worst moment.
After the kill is registered and the challenge advances, the arena door opens. It is then possible to leave the arena and return, which respawns Master Gee. By switching to operating system and advancing the time one day ahead, Master Gee can be fought immediately again.