There is an event for the scroll wheel, actually: IScrollHandler, with its OnScroll() event. It shows up in EventTrigger as “Scroll”. Note that this is another case of the event data being a bit funky again, so it needs to be recast. Putting this method in a class called from EventTrigger works:
The y vector is the regular (vertical) scroll wheel. Positive is up. If you have a mouse with a secondary (horizontal) wheel it should show up as the x vector, but some of those mice can have the two swapped.