Only as a screen view. In other words, not as a solo external monitor. Even if it would work correctly, your image wouldn't be accurate so you wouldn't be able to do color correction or anything involving color at all. The VGA output is just a clone of the information on the laptop screen
Plug in the external monitor into your laptop. Configure in dual monitor mode. Separate the video preview screen in Vegas and drag it over to the second monitor.
I've also done this using the svideo out (with an s-video to regular video adapter) on my laptop and configuring it as a second monitor. The interlace flicker looks terrible as you use it as a second monitor, but the video preview looks ok. It's wierd with the TV too because the screen isn't big enough to show the entire second monitor display, even at the lowest (800x600 on my laptop) resolution. As you drag the mouse around you also drag around a larger screen image. Anyway, it's akward, but it does work.