You can buy posh things called 'screwcumbers', but I just use a stainless steel teaspoon.
Lettuce really needs blanching (boiling water poured over it and left to stand for a few minutes), as do things like peas (deshell them afterwards). Fish do seem to like cucumber, but there's not much goodness in it, being mostly water. Courgette/zuccini is better.
You can also try melon rinds, sweet potato and apple. Bear in mind that if your fish aren't used to being fed veggies, it might take them a while to realise it's food.