Thank you for taking him in!
That he’s eating hay is so great, that’s the best food for rabbits! Pellets should be switched over gradually by mixing old with new. If he’s a big hay-eater he’s likely to have a good tummy, which makes transitioning easier. Gerbils often get the same food as hamsters and hamsters are not vegan, so the gerbil pellets are probably not right for your bunny. That said, his tummy is used to them, so transitioning is still a good idea.
You can introduce him to veggies, but do it slowly, one veg at a time and only a small piece (like a silver-dollar) for starters. Suitable vegs are romaine lettuce, kale, fresh herbs like mint, parsley, basil, cilantro. Leafy greens are the healthiest for rabbits. Here’s a veggie-list: https://binkybunny.com/BUNNYINFO/VeggieList/tabid/144/Default.aspx
I also second Kirstoyl on the letting him come out on his own-advice. You can sit down on the floor if you like and read or sth, not even look at him (looking at is what predators do before they charge), chances are good his curiosity will get the better of him and he’ll come to explore you. Make sure he has a hidey house (upside down cardboard box with 2 openings in it, one on either side is excellent), so he can withdraw to a safe place when he feels he needs to.
And if you let him have un-supervised playtime outside his cage, make sure you have cable covers on all cables that can’t be placed out of reach! This is important because bunnies have a soft spot for cable-chewing and that can be very hazardous, both for your bunny and for the rest of the family (risk of fire).