I don't see why you couldn't run PellMon and PellmonMQTT together with Home Assistant on the same rpi. Do you think of some specific reason?
The Raspberry Pi is installed with the Home Assistant OS, and is not accessible in any other way than through HA. How would you install another program, without mentioning a broker?
That is not entirely true. It is true that the HassOS is build for running HA, but it is still a Linux distro that is just made inaccessible for the user (e.g., ssh to the host os is disabled), as stuff should be running in containers, which makes the OS installation independent and easy to upgrade without breaking any add-ons.
I haven't spent any time reading up on integrations, but a quick glance suggests that they are just python3 code. So unless Pellmon uses anything else than python for fetching and/or setting values in the controller then it should be fairly straight forward to wrap it and expose directly.
Another alternative could be to just wrap the pellmon software in a container and expose it as an add-on, however that would not integrate the values directly to HA. Then you would need the pellmon-mqtt, and then connect that to your HA's mqtt broker, i guess?