Another thing to keep in mind is some pellets burn better than others. Have you tried to sit the tray in the open air and see if a load of pellets will stay lit? If they go out then, you know it's the pellets (but it may be a combination of pellets and pit).
I know some flavors of wood are harder to light and keep lit than others.
Hickory burns really well. I frequently will have leftover unburned pellets after a smoke. If they're all the same type I will either save them for the next smoke or put them back in their bag. Or, depending on what I'm smoking, I'll make my own blend of two different types of wood pellets or I'll add Pitmaster's Choice to whatever was left over. I once read that many pitmasters like to combine a fruitwood with a nutwood. For pork, pecan and apple woods is a classic pairing. I think hickory and cherry also go well together.