I tried this with a yellowjacket and a screamer of a Shop Vac that has a six-foot hose. I was sure it would have suffocated from the dust inside the vacuum bag clogging its spiracles.

Next morning, the wasp (now with tattered wings) was sitting in the corner of a window. I have no idea how it made it out.

It's probably a pretty natural path for the wasp assuming it survived the initial time you were running the vac. The shopvac is just a big container with at the top an exit path following the wall naturally out the tube. They don't even tend to have a flap like smaller hand vacs might have to keep dust from falling out during use.

Use glass and a paper sheet, much easier and less harsh on the "bugs".