You want pointed pellets, heavy ones, Beaman Silver Arrow pellets are the best I ever found. You still need your shots to hit flat to get penetration if you hit any skull or bone. They will glance off. They ARE NOT a .22 LR. and are not the best choice for dispatch but if you do everything right they will work. Very unforgiving. Practice a lot at 3-5' to be sure you can hit exactly where you want to, every shot.
This.
H&N branded are the same and a bit cheaper. Stoeger has them too for more money. Try Pyramid Air for the best variety. Don't use the cylindrical pellets designed for PCPs. You'll be very disappointed.