A pellet Gun is a "GUN", Just because it use air or co2 to propel the pellet, dosen't make it any less dangerous than a gun using gun powder. Depending on the pellet gun, at close range you can kill small animils . If your neighbor is firing the gun in your direction knowinglly, I would call the cops.
We got our son a pellet gun when he was 9. Instructed him on gun saftey and what he could shoot at. I set up hay bales in the back yard as a back stop so that he could shoot there. We keep the gun looked up with the rest of our guns (AFTER ALL A PELLET GUN IS A REAL GUN !!!!) and he is only allowed to use it under our direct supervision.
I wish you luck. I don't know what type of relationship you have with your neighbors, but I would try to get this resolved