Some users say they can import audio too. Not me. If you want to do what I'm thinking, thry to open the VOB with TMPGENC and get the audio and the video file with the help of its MPEG tools. For the audio you can also try BeSweet that lets you go from VOB to WAV. You can download it for free at www.videohelp.com. In the beginning you'll notice that BeSweet is just a little difficult to use, but never mind. That's just the beginning; it's a piece of cake, believe, me.
Depends on the format of the audio stream. If it's MPEG or PCM audio, it should import fine. If it is AC3, Vegas cannot open or read AC3 audio (although it can output AC3).
Could having or not having a software DVD player installed on your computer make the difference here?
I am asking this, because a software DVD player installed does let other media players play VOB files (as it installs some codecs).