As JM said, it depends on which model you bought. There is one that's specifically designed to burn pellets, plus the dust. The other (older) model only does the dust.
Either way though, you can make dust out of the pellets. Put them in a baking sheet and get them wet. Not sopping wet, but wet. Let them sit overnight and they'll turn into wet saw dust. Spread it out evenly and use a fan, or a slightly warm oven and dry it out. Once it's nice and dry it'll burn just fine in either model of AMNS.
On edit: if the dividing wall in your AMNS has vertical walls, then it's the older model made just for dust. If the walls are shaped like triangles, then it's the newer AMNPS that can handle both pellets and dust.
