Just as an FYI, it works. Let me explain how I did it.
1. Render a chroma keyed video in Vegas.
2. Turn on "Show Mask Only" for the chroma plugin and render another video for the transparency.
3. Using a billboard, put the first video on Diffuse and the second video on Opacity.
The caveats are...
1. iClone only accepts WMV and AVI from Vegas. For other formats it says "Your system cannot find a codec." (?)
2. My tests used full frame videos (1280x720), a reallybad idea because the real time playback between the two videos is really jerky. I'll try it again with smaller videos.
3. The opacity video leaves a small black border outline around the video image as you can see in the last still image above. I'll try to reduce that with blur in Vegas.
I think this will work though.