The .veg file is just for use in Vegas. It tells Vegas how to put together your project.
To export you need to “render as”.
If you are going to DVDA to make a DVD you should “render as Main Concept MPEYG2 DVDAcompliant video stream (video only() and a second rendering as AC3 audio. Save both of these files in the same folder and with the same name (xxxx.mpg and xxx.ac3). Then when you drag or import the .mpg file into DVDA the audio will follow automatically. The reason for rendering to MPEG2 in Vegas is for more control.