Many of the Pechenegs actually did convert to Islam. As the story goes, many of them were converted in the 11th century by a prisoner.
Many of the Cumans also converted to Christianity. In fact, a large bloc of up to 60,000 Cumans were invited to settle in Hungary between Pest and Bihar, adopting Christianity along the way. The region became known for a long time as Kunság - basically "Kun land," with "Kun" meaning "Cuman." Cuman was still spoken there for up to 400 years after they settled. Allegedly something similar happened with small groups of Pechenegs in Hungary, while the ERE also settled a few groups of them, but they faded into obscurity and assimilated into their Balkan neighbours.
It's certainly possible for either group to go on a big stomping-boy rampage and take over chunks of Eastern Europe. The Pechenegs allegedly entered the Balkans with a large body of men, allegedly still having 80,000 men by the Battle of Levounion - more than enough to be a serious threat - but the Cumans are probably more likely to do serious damage. OTL, dealings with the Cumans were usually dealings with individual clan leaders or leaders of smaller groups of clans; there was no Cuman Temujin to unite them. You probably could have a more unified Cuman entity with a big heavyweight at the top who leads the nominally unified clans on a big romp through the Balkans, ultimately converting to Christianity to rule over their subjects.