I think it's a good idea not to use veto for TV. It wouldn't have helped them anyway. All it would have done was extend the competition by a week, and they would have been eliminated next week again.
They were 90,000 votes behind the jodi closest to them, and 150,000 votes behind the #1 jodi. There was no way they could have made up that much ground in one week, especially since no one would be eliminated, so no votes would be divided. Also, Twinkle's tirade against Allahabad and public voting in general - and her comment that good talent never wins (that too in the presence of Debojit) - wouldn't have helped.
On the other hand, the other 3 jodis were only separated by less than 70,000 votes, and a veto would come in more useful for one of them, since it might lead to a significant rise in votes for the jodi. And since UA seems to be a favorite of the GG's, they probably felt it would be better to save it for them in case they go out next week.