My background is in small-scale pellet manufacturing, so I'm very qualified to answer this question. Unfortunately, the reality of making pellets on a small scale is much more complicated than it seems.

While you can get small pellet mills to make pellets, for a pellet grill to work consistently (and not block up), it needs to be fed at a steady consistent rate with material that is also consistent (its moisture content and particle size are very important).

Therefore, the pellet mill is just one part of the process. So its simply not practical/affordable to make pellets just for your own pellet grill.

Now, starting a small business making BBQ pellets is very plausible, as BBQ pellets have the best profit margin of any other pellets on sale (feed pellets/fuel pellets for stoves/boilers).