Try a big thick (1.2mm or more) pick you "can get hold of". It 's important you file the tip to a sharp, thinner point though!
Thin picks give a sweeter sound, and might be easier for you to get a tremolo working, to start with.
Controling a good tremelo sound takes a lot of practice, it don't come easy.
Thumb picks and finger picks: don't go there. Do you want to play the mandolin or not?
I find Mandolin picks useless too.

PS I love mandolins so much I build them.

Banjo,London