That's good you're keeping his hay fresh! If he feels skinny, that is very concerning. Keeping weight on him is important. Oat hay can help fatten him up a bit more because of higher protein content. His pellets can be served mushy. Mushy pellets help with weight gain, but don't help with wearing teeth down. So use your judgement and continue to encourage lots of hay/grass consumption

. Pellets + boiled water, cooled and served in a shallow little jar lid, off a spoon held by you or if needed, via syringe if you first research assisted feeding techniques.
If he is losing weight, he would have less food moving thru him than in the past, which can lead to digestive/motility issues in some cases. So watch for changes in his poop (small poop, wet poop, less poop etc).
I had a piggie who stopped wanting pellets (or nuggets?) and eventually he did end up having overgrown teeth, requiring a trim. Leading up to identifying his overgrown teeth, he went back and forth with how much hay he ate but kept enjoying veggies. However, he had lost weight. It would often be hard to say if a piggy has dental problems at first glance but if you can peek at his incisors weekly at least and listen for tooth grinding, that is a good idea. So you'll want to pick him up and gently pull his lips/mouth open to expose his incisors. I'd suggest being patient with this if he's not used to you poking around at his mouth. And give him his favourite treat after a tooth check as a reward. If his incisors ever look like they're wearing on an angle, that's another clear red flag. If you can encourage him to eat more hay, it certainly cant hurt and would only help slow/prevent any possible overgrowth that could be brewing under the radar. You can offer him "the best pieces" of hay by hand (you dont have to pick him up to do this), help him forage for nice long strands/seed heads. Act excited about hay (ruffle it around and talk in a happy voice).
Best of luck!