Yes, VEX is a valid Scrabble word!
make (someone) feel annoyed, frustrated, or worried, especially with trivial matters
Synonyms: annoy, irritate, infuriate, anger, incense, inflame, enrage, irk, chagrin, exasperate
angry; annoyed
Synonyms: annoyed, irritated, angry, irate, furious, incensed, inflamed, enraged, infuriated, maddened