Are you talking about a dragon goby?
If so, are you keeping it in a brackish water tank as they are supposed to be kept?
If not, take him back to the store until you can keep him correctly. They are a brackish water fish that is wild caught, thrown into fresh water, whatever lives is then sold. They don't do well in full fresh water. He will eventually lose his slime coat and become sick.
Also, put him back in the tank until you can take him back to the store. You're stressing him out more than he already was. They are very shy fish. They don't usually eat right away. Both of mine took weeks before they would eat. And yes, they are both kept in brackish water.