Well, most importantly, Pug was still a Great One and as such, subject to the Forbidden. Although he had broke his ties with the Assembly perhaps he was unable or unwilling to approach the Choja because of the treaty. Remember, he advised Mara to go and find the Choja (so he obviously knew of their existance) but seemed reluctant to go himself.
Also my impression wasn't so much that Pug "wanted to learn magic", more that he wanted to know more specifically about the Enemy and rifts. Being the eldest and wisest race with intimate knowledge of the Valheru, the Eldar were the best bet.
The Choja's only involvement with the Enemy was watching him trying to force himself through the rift.
Or maybe:
- The Eldar are just more powerful
- The Choja "Hive Mind" magic may be incompatible with the human psyche.
- Thuril magic may be more "shamanistic" in nature. Certainly their magic was very understated. Perhaps the Killane was just good at 'Headology' as Granny Weatherwax might say.
- Finally, maybe they just didn't want to help Pug! The Assembly is hardly held in high esteem in either Thuril or Choja now, is it?
