Vegas seems to dumb down image sequence export, and just seems to assume a standard TIFF format. An alternative might be to use Blender in Video Editor mode. Blender allows you to export your video clips as image sequences, and choose RGB or RGBA as a selector. You can also go straight to JPEG2000 in Blender, but you would need to convert your color space to xyz before export. Blender does not seem to offer rendering to xyz jpeg2000.
DCP builder does say it offers video format conversion via FFMPEG plugin:
"converts audio clip formats (WAV, FLAC) plus TIFF/PNG/TGA/DPX/BMP sequence of pictures. It also converts nearly all video formats, thanks to a user-supplied external FFmpeg plugin;"