I definitely think that slowly introducing vegetables (probably one at a time) is key. It’s excellent that he’s eating hay, though!
Just out of curiosity, what specific vegetables have you tried? With my Hugo, I realized that all of the vegetables he rejected were herbs with a strong scent (cilantro, basil, mint). I doubt there’s a common component, though, as it sounds like you’ve given him a wide variety to choose from. I think I would also recommend not making a big deal out of the vegetables and maybe just leaving a small piece of, say, romaine for him to try somewhere in his vicinity. Hopefully, he will get curious and eventually try it. That’s how I got Hugo to eat a piece of cilantro. I suppose you could try mixing in the vegetables with his hay as a sort of a hay topper, but since he still ignored them when you mixed them in with his pellets, I’m not sure that would work. Perhaps he might prefer dry vegetables?
It sounds extremely frustrating, but I wouldn’t stress over it too much. Though it will be great if he eventually eats vegetables, it sounds like he otherwise has a healthy appetite.