The AA cells will power the meter if your polarity is correct.
simulate this circuit – Schematic created using CircuitLab
Figure 1. Standard 9 V battery and clip arrangement.
You are using a clip as a battery so the terminals are reversed and you must reverse the wires so that the terminals are the correct polarity.
Figure 2. A close-up of your clip by the guys in the forensics lab indicates that you forgot to reverse the polarity.
Quick check. Disconnect from the meter and measure the voltage on the clip. The bump terminal should be positive.
Why this is a bad idea
The meter is designed so that the user is fully isolated from all conductive parts. Sockets are recessed, battery is totally enclosed and the case is, most definitely non-conductive. By using an external battery you risk electric shock should the meter leads come in contact with mains voltage.
Buy the correct battery. They last for months or years of normal use.