Mine liked theirs best when I just put some kale on the floor of the cage, or if they're out of the cage, on top of it and they all just went for it. Just keep trying. Eventually they'll probably get curious and try it.
The first vegetable my guys tried (and loved) was sweet corn kernels sprinkled with a teeny bit of garlic powder (NOT salt).
Budgies seem to love "spicy" tastes.
My guys adore fresh basil, cilantro and chickweed.
They also like zucchini and red pepper.