Does he seem to have good body condition, doesn't feel bony and skinny along the spine, ribs, and hips? An average size rabbit is 4-5 lbs, about half the size of a normal grown cat. Does that seem to be about his size?
Small World is a pretty low quality pellet. If it's possible for you, I would recommend a better quality brand like oxbow, science select, or sherwood. Low quality pellets can have quality control issues and will usually be lower in fiber and higher in carbs, which is the opposite of what you want for good gut health with rabbits. With a good quality pellet and good green hay, I would be less concerned about a rabbit being picky about eating veggies. At least until you can get this pickiness figured out.
https://rabbitsindoors.weebly.com/pellet-food.html
One other possibility to consider when you have a rabbit selectively eating, especially one less inclined to eat veggies and hay but is fine with pellets, is the possibility of it being caused by dental issues causing mouth pain and sores when chewing certain foods, and not actually from being picky.
https://rabbit.org/dental-disorders-in-rabbits/
(LINK CONTAINS MEDICAL RELATED PHOTOS)
https://lbah.com/rabbit/rabbit-teeth-conditions/
https://rabbit.org/veterinarians/
Since your rabbit will eat romaine, maybe try different types of leafy greens and herbs. That's primarily what I fed my rabbits, romaine or green/red leaf lettuce, then some herbs and other leafy greens.
https://rabbitsindoors.weebly.com/greens--veggies.html