Seems like it should be an option since you can render files in 32 bit. Many have said it's overkill but when you experience the amazing dynamic range you see possibilities beyond 24 bit.

You can work with 32-bit float in Vegas. I think it's the volume Fx that can pull it back down into ordinary range.

If you're making a video I don't think 32-bit float is a legal output format for audio, so you'd want to conform to regular 16-bit 48000KHz.

So on an audio only project with bit depth set at 24 if captured in 32 bit will it stay 32 bit and render out as such?

This is beyond my expertise as I don't edit just audio in Vegas, but importing a 32-bit float wav, and then simply exporting it as a 32-bit floating point wav visually seems to have yielded an identical file. If someone else has quantitative tools for this, please verify it.

For use in video I'd just treat it as a file with extended headroom. I would get volume and loudness to where I need it and output a normal video with normal non-float audio. It is analogous to shooting log or raw- the final file will be Rec 709 with much less dynamic range than the source but the advantage of starting with a wider range is that you get to choose what data matters and how to compress it into the final product.
You can also bounce the 32-bit audio to a dedicated audio tool (Soundforge; I use Izotope RX myself), master it, and then bring into Vegas as an audio take alongside the original.

You can import floating point 32 bit files to VP. Lf the event's waveform appears clipped, pull down the event's gain to get a none-clipped waveform appearance, If rendering audio to PCM, 24 bits has adequate dynamic range. Floating point 32 bit is an initial audio capture format for unpredictable levels.

90% of all video delivery formats are with 16 bit integer audio. A few support 24 bit. Keep that in mind when choosing a rendering format.

I realize Vegas supports various source audio input and render output formats. But, fwiw, the only bit-depth choices I see in Project Properties on the Audio tab are 8, 16, and 24 bit... integer I presume. In any case, I always record 24-bit integer audio and set my Vegas project properties to the same.