Does Vega die?

Vega isn't seen again after he is defeated by Ryu, and he is not shown to escape the exploding Shadaloo base. Interestingly enough, there was a comic book adaption released by DC Comics which does show Vega's death -he falls onto his own talon (scanned by Gavok).

Vega is seen again in the cartoon series set after the events of this film.

Are there any deleted scenes?

There was at least one which involved a brief battle between Cammy and Chun-Li, I'm not sure where it would have fit into the movie (which may be why it was deleted) but you can view it here. The DVD I have has not got any extras on it so I don't have any more details.