Here are a couple resources and techniques for creating molds for vacuum forming.
Attached is a white paper from form labs on using high temperature resin 3D prints. Of course this requires a resin printer with a pretty decent footprint.
High temp resin printed mold:
From what I've found quickly it looks like some people have had success with FDM printed molds out of a higher temp material like ABS like in this blog.
FDM printed molds:
Alternatively molds could be created out of wood with the CNC router (or by hand!), like in this video.
Wood Vacuum forming mold:
Finally the other way one could go, which is another whole can of worms would be to create a urethane casted mold starting with either a master mold and silicon molds to create the urethane part, or a printed master mold.
Make a vacuum mold with epoxy resin.
Make a vacuum mold with urethane resin.