Is there any use for legion Denarius other than for shotgun shells? Is there actually like a legion merchant i can use them at?

They're just cap fodder; you can also exchange them (and NCR $) to chips at the casinos.

Protip: Legion Denarius (or one of the other types of legion coins) are worth 1000 chips each; but not caps. So exchange them for chips, then cash your chips out for loads of free cash. Or gamble it away. Your call.