In every election under MMP so far, the party with more votes than any other has become the government.
Twice previously when Winston Peters had the option, he chose the party with the most votes, once National, once Labour. Peter Dunne has done the same.
No constitutional rule said they had to go with the winning party but they would have been mindful of something called "legitimacy". In politics it does not mean legality, it means the moral right to govern. A government needs more than majority support in Parliament, it needs the acknowledgment of those who did not vote for it that it has legitimacy.
Nobody in New Zealand yet knows for certain whether a government formed by parties that finished second and third or fourth would have legitimacy in the eyes of those who voted for the party first past the post, because it has not happened yet.
NZ First and the Greens, with Labour, could make it happen. But they would need to be sure all New Zealanders could respect its mandate.