From time to time Destiny 2 will ask you got go somewhere in the game and kill a specific type of enemy. If you are searching for Vex enemies on Io, here are a few places you should look.
The Pyramidion Strike
If you are doing the Exodus: Evacuation mission, you will need to complete the Pyramidion strike for one of the steps. You will also need to gather 40 Scan Traces that can be obtained by killing Vex enemies anywhere on Io. The good news is that the Pyramidion Strike is killed with Vex, and the vast majority of them will count towards your Scan Traces requirement. This is something of a “two birds with one stone” scenario, allowing you to just play through the Strike and you will finish the other step just by killing enemies.
The large wall-like building just north just beside the Giant’s Scar spawn point is an ideal place to search for Vex, especially if you time it right as a Vex Spire public event is happening. You should be able to quickly farm up any Vex kills you need here, if you get lucky.
If you explore the center of the Lost Oasis you will discover some floating rings guarded by Vex enemies. Killing those enemies and jumping through the ring will send you flying through the air, towards some more enemies. You can just repeat this until you run out of enemies, racking up some easy kills.