stumble across your question, don't know if this answer might help or not since you have asked long ago. From your elaboration, I think you can work out this way:
Use direct selection tool.
Select vector B and click on the path of circle B, select the whole path by using shift key (select all path dots, 4 dots)
Copy (Ctrl+C), then select vector A, click on the path of circle A, Paste (Ctrl+V).
Up until this, you will have two different paths in the same layer presumably on layer vector A.
With pen tool function selected. Make sure the path B still highlighted (all path dots), choose the Subtract from shape area from the available options.
Then you will get your donut shape, while maintaining as a vector. Hope it helps. =)
ps: I'm using CS2, it could be different in other versions.