You've had him about a week, right?
Every single bun we've added to our household so far has gone off pellets for the first week (maybe even a few days more) they get here.
As long as he's eating his hay, don't worry...he's consuming most of what he needs...and he'll be back on his pellets again in a couple days (given that it's been about a week, right?).
Don't worry, and don't fret...he'll be just fine...the more you fret and worry, the more he will pick up on that, and the longer it'll take him to relax and adjust to being in your house, and thus the longer without pellets. Just tell yourself...it's okay...and he'll be fine.
Every single bun has their own way of adjusting...some don't drink (some don't pee, hehe), but more often than not, they go off pellets for about a week. It's perfectly fine, and there's more than likely nothing wrong with your little guy.
Edited to add: Any bun I've rescued that hadn't had hay before, also went a little longer than a week off of pellets, but was scarfing the hay, as you mentioned your new boy is. I think it takes a couple weeks to calibrate the body to have the right levels of fiber and such, so that takes time. But, don't worry...he's doing good.