Sometimes it's hard to get piggies to eat new foods, but you have the opposite problem of most people! Usually new piggies (especially pet shop ones) wont eat veggies and gorge themselves on pellets. Try to add tiny bit of veggie into their pellet bowls - once they go for the veg, they will get some pellets in the mouthful. Keep their pellet bowls near their hay to encourage them to smell it. Use pellets as treats, act like it's a reward. When you feed them veggies, shake the pellet bag/container to create a positive association with the sound of the pellets.
Feed them a large variety of veggies, and you should be fine without pellets, however they add a sense of security that your piggies are getting everything they need.
