A Delaware judge appeared unconvinced by arguments from Chubb Ltd. and American International Group Inc. units that a dispute with McKinsey & Co. over insurance coverage for opioid-related suits should be litigated in the state.

At a hearing Thursday, Delaware Superior Court Judge Eric M. Davis told the parties he was having trouble identifying sufficient ties to the state to establish jurisdiction over the insurance coverage dispute. He set an additional hearing for Oct. 21 on McKinsey’s motion to hear the case in New York.

The forum fight comes as several big-name commercial policyholders square off with their insurers over …