The short answer
Yes — cucumber is a safe, hydrating vegetable and a good starter food for fussy budgies.
Why
Cucumber is mostly water, so it's light on nutrients but excellent for hydration, and its mild taste makes it a great way to introduce fresh food to a nervous bird. Skin and seeds are both fine.
How to feed it
Wash it and offer a thin slice or small chunk with the skin on.
How much & how often
Daily is fine, alongside more nutrient-dense vegetables.