1. Monsters don't get death saves.
2. HP don't go below zero.
3. Misty Escape explicitly describes what happens when a vampire is at zero hp, both in non-misty form (it can change to mist if certain conditions are met) and in misty form (it has 2 hours to try to get back to its resting place).
It's pretty clearly implied that a vampire in mist form at zero hp is not, in fact, destroyed, since it describes a bunch of actions the vampire can take.
So go ahead and firebolt that cloud of mist. No, the vampire is not immune. But a monster at 0 hp that takes 10 points of damage is still at 0 hp. Actually destroying a vampire requires dropping it to zero in its resting place, in sunlight, or in running water. Or you can drop it more than two hours' travel from its resting place and wait for the timer to run out.