Well, dont give up on the treats yet LOL. Sometimes it takes presenting a treat over and over for a hedgie to eat it. You may want to try either white meat turkey or chicken, about the size of a pea. I have had luck with both hedgies with this.
As far as exercise, I have a children's play pool that I use. You can buy this in the summer time at walmart or target. This wont help you now but something to think about
Andrea