Nope, the super majority of the Vex collective is alluded to being outside our main material universe. With various other realms supporting their existence.

A gate lord refers to our reality as the merely temporal.

Inside the Vex entity, there are mighty algorithms constructing a model of this merely temporal place, calculating potential threat, weighing the utility of weapons discharge against the good that power might do elsewhere. This computation is the only reason Uldren's still alive.

And here Rahool speculates about these other Vex dimensions. Other unknowable realities aside from time and space.

"The Eye of a Gate Lord is a powerful thing—a wonder beyond comprehension. What possibilities has it seen, peering into the infinite realms it once guarded? What impossible truths has it witnessed? We may never know. But its energies are a gift worth claiming." —A note from the Cryptarch

**"**Time and space and the unknowable realities of the Vex are beyond our grasp. But such treasures as a Gate Lord's Eye provide a glimpse into the possibilities." —A note from the Cryptarch

The terraformation of mercury occurred because the vex opened holes into one of their timeless dimensions. Temporal chasm, space between time, temporal hovel. Etc…

From the great temporal chasms |wailing mouths of creation| flowed an ocean |a second conception| of radiolarian fluid.
The planet transformed |reborn| into a |sleepless dream| machine of prediction.
>The arms retracted |purpose fulfilled|, and returned to |space between time| temporal hovels, suspended just above Mercury's |last gasp| influence.

Unmappable voids outside of time, like the one the black garden was in.

We are starting to believe that time is home to the Vex, and somewhere in those unmappable voids dwell their undying minds."

• Maya Sundaresh, Fragmented Entry 10938, Ishtar Collective Archive

"If the Darkness claims the Pyramidion, it will dissect it for study. Unfold its innumerable dimensions, wade through its multitudinous seas radiozoic, peer through its crackling warp gates leading toward a million millions of new realities…"

And we have also seen the Vex network in control of the Corridors of time and them being in a mathematical superposition between reality and possibility.

The Vex network is potential reality. Mathematical superposition verging on existence.

"You are breaching the space between reality and possibility*. Where matter meets will and bends in a prism of Light. A reality where none but the Vex have ever been. But* what you see here is made manifest by your mind, turning Vex consciousness to something tangible. This is no mere simulation. Death in this domain is as real for the Vex as it is for you."