My cats are the same way if I give them gravy food. I had to stop, though, because one of them has Inflammatory Bowel Disorder (IBD -- it's as much fun as it sounds!
) and he seems to be really sensitive to wheat and corn. Most of the gravy cat food out there has wheat gluten in it.
The Fancy Feast flavors without wheat gluten are all the non-gravy "loaf" kind. I give mine Gourmet Chicken Feast, Tender Liver & Chicken Feast, Tender Beef & Chicken Feast, Tender Beef Feast, Tender Beef & Liver Feast, and Turkey & Giblets Feast. There is another one called Mixed Grill, but my cats don't like it. There are a few seafood flavors that are grain-free too: Ocean Whitefish & Tuna Feast, Cod Sole & Shrimp Feast, Savory Salmon Feast, and Fish & Shrimp Feast are the ones I know of. (Basically, stay away from any FF flavors marked "chopped," "grilled," "minced," "chunky," or other similar adjectives if you want the grain-free kinds.)
If you do want chunky/gravy foods, the brands that I know of that have grain-free options are Avoderm Select Cuts, Fromm's, and I think some kinds from Merrick. I get those from an independent store. They are pretty expensive, and in the case of Avoderm you're getting almost nothing but gravy, so I don't buy them very often.
Fancy Feast is probably the easiest option for a picky cat. But I do have to point out that it's possible to get much better food for the same amount of money, if you're willing to buy bigger cans and refrigerate them. I also buy Wellness in soup-sized cans -- they have several grain-free varieties -- and ounce for ounce it costs exactly the same as Fancy Feast. But only two of my six cats will actually eat it, so I understand the pickiness thing, believe me!
I hope this helps. Good luck!