Your aliens will be unable to produce labial consonants.
As you've correctly identified, the biggest challenge in speaking without cheeks will be the lack of lips. In English, the units of sound in speech, or phonemes, that use the lips as active articulators are known as labial consonants.
In English, labial consonants take the form of bilabial or labiodental consonants. Bilabial consonants are ones that are made by pressing the lips together, like 'm', a bilabial nasal, or 'p', a voiceless bilabial plosive, meaning a sound you make by closing your mouth by pressing your lips together and then opening them while expelling air. Labiodental consonants are those made by pressing the upper teeth against the lower lip. Examples of this would be 'v', a voiced labiodental fricative, meaning a sound created by vibrating your vocal cords and pushing air out of your mouth with your lower lip pressed against your teeth, and 'f', a voiceless labiodental fricative which is same as 'v' but without vibrating your vocal cords.
I think that 'm', 'b', 'p', 'v', and 'f' are the only labial consonants in English, though other labial consonants appear in other languages. All other sounds in English are made without the lips as an active articulator, so your cheekless aliens will be able to make them.
All of this is assuming that the aliens don't have any other means of producing these sounds. Parrots, for example, are cheekless, but possess an organ called the syrinx, which allows them to produce what we call labial consonants using a completely different process. If your aliens possess such alternate speech organs, it's possible that they can make any sound that humans can (and some we cannot) without having cheeks.