I doubt I'll ever get Sprite or Marshmallow to say Merry Christmas, although it would be absolutely adorable. I've been trying to get my budgies to say some things for years now, and all they say is "millet" and "yeah", which they learned on their own.

Although every night after I cover their cage and turn the lights off, I always say "goodnight my baby birds" as I'm leaving the room, and every single time Marshmallow whistles something that kind of sounds like "goodnight". It's not exact, but he does it every night in response to me, so I think he's trying to imitate what I'm saying.