Veilleux spent last season at Pitt.
Despite leading in the first set, Penn State couldn't keep pace in sets two and three and fell to the Anteaters.
Eight Nittany Lions were selected in the 2024 NFL Draft.
"This is not a goodbye to Penn State, and I know I will be back, just in a different way."
Ellis was the second Nittany Lion to sign a UDFA after Curtis Jacobs signed with Kansas City.
A poor showing against Ohio State started a downward trend for the once-first-round projection.