You can "convert" .veg projects using the File ► Render as.. function. There are several options for saving the project, including WMV, MP4, MOV and some other multimedia formats. Just do not forget to unselect like loop region or the resulting file will be just 1 or couple second long.
Convert Sonic Foundry Vegas video project to MPEG-4 video file format.
We found one software available in the database for this conversion.
Microsoft Windows software - convert veg to mp4 on Windows
A set of professional tools for broadcast production by Sony
Convert from veg file format
The table with program actions contains information about what each program is capable of doing with their files. This may be a good pointer for further searches for certain file conversions and help you find the converter you are looking for if our search result is insufficient for you. However, it is far from perfect and may sometimes show results which are not really usable because of the nature of the software handles the files. So a conversion that appears as possible, just because of matched actions, may in fact not be possible.