As it says on the CoD Vanguard page:
“This game is not supported by Wand. This is due either to technical aspects that make it impractical to mod or to the possible multiplayer nature of the game.”
As Ravenfyre agreed with me in this post that had that warning:
The game could be server side only with no local saves on your PC (as it says on Steam that it needs a constant internet connection, even for the single player campaign), so that’s probably why it can’t be done.