This kind of questions will always be a bit subjective but I believe one can call themselves vegan if they are doing as much as possible* to avoid animal abuse. For instance, I wouldn't judge for not refusing a pig heart valve to fix your faulty heart valve, but some vegans might.
On the other hand, vegan omega 3/6/9 pills do exist and they might be available where you live or delivered to your from the Internet (be careful when ordering pills online, of course). If you just buy fish oil pills because they are cheaper of because that's what your doctor told you to take, and you never did some research yourself and discussed it with your doctor, then that is "not very vegan". If your doctor tells you you must take those specific oil pills, then that is fishy. I strongly suggest that you find a second opinion with another doctor - your doctor might be getting a nice commission from referring you that brand and you might not need the capsules at all (see Zanna's answer).
[*] By "as much as possible" I really mean doing everything available to you that will not harm you. For instance eating meat in restaurants because your friends only like to go out for BBQ is not vegan, but settling for leather work boots when no other boots are available where you live that meet the legal requirements for your job is fine, because you have no option.