Good veggies to eat would be anythin green and leafy.
Veggies are not high in protein. Not many calories in veggies, but tons of micronutrients (vitamins and minerals).
To lose fat you really need try eating below maintanance calories, eat clean carbs, eat more often and exercise (weight training would be ideal). Foods don't make you lose fat, its the way that you eat which will decide whether or not you lose fat.
Do you have a diet worked out?