in the wild, I doubt an Oscar is going to come across a carrot, or a piece of aubergine floating down the Amazon. Whereas some people de feed vegetables to aid digestive, I'm dubious to whether there is an enough nutrients in a vegetable, after all they are used to eating insects/fish in the wild.
So your Oscar gets bored with pellets/fish/shrimp. I would be very tempted to feed him every other day if he is behaving like that. You'll probably find that when Oscars are very hungry, they will eat just about anything. Try this for a week, don't give in and feed him food that he will eat, you'll probably find he will just get bored with that and you'll end up having trouble finding anything that he will eat. play him at his own game, if he won't eat what you're giving him, don't feed him anything. If he is healthy, he well eat. sometimes you got to treat them like children.
When I had the two Oscars and the 300 gallon tank, one of the Oscars turned its nose up to a certain type of food, now there are a couple more Oscars in there, he eats as many as he can because they are competing against each other and if he doesn't eat, he's not going to get anything