Wild rodents may carry internal and external parasites - worms, fleas, for instance. And if there is a local mouse population, neighbours may have been putting down poison. This isn't instant - believe me - it's barbarous stuff, and an apparently normal mouse caught in a trap may have eaten it and be moving about days later.
Many people breed their own mice and prekill, but these should always come from healthy domestic stock.
Sorry.
ps Good luck with his next mouse - he'll get there.