Here is the list of Sony Vegas supported input formats:
MOV, WMV, H.264, AA3, AAF, AIF, ASF, AU, AVC, AVI, BMP, BWF, CDA, DIG, DLX, DPX, DV, EXR, FLAC, GIF, HDP, IVC, JPEG, AVCHD, M2T, M2TS, MVC, Sony MXF (XDCAM and HDCAM SR), MP3, MP4, M4A, MPEG-1 and MPEG-2 video, OGG, MPO, OMA, Panasonic MXF (DVCPRO, AVC-Intra) PCA, PSD, QT, R3D, PNG, SFA, SND, TIFF, TGA, XAVC S, W64, WAV, VOX, WDP, WMA, XAVC Intra MXF
Sony Vegas doesn't support MKV as an input format so it is impossible to import MKV files into Sony Vegas directly.
To open MKV in Sony Vegas, the common method is converting MKV to Sony Vegas supported formats with Faasoft MKV to Sony Vegas Converter.
Hope it is what you are looking for.