During the Tournament of Power, when Goku unlocked Ultra Instinct, Vegeta showed interest in that form, so he tried to achieve it himself but was unlucky. Instead, he ended up achieving SSB Evolution. Vegeta then stated that he'd rather build up power based on his Saiyan heritage, but instead, he goes down the God of Destruction path.

Now you see I LOVE Ultra Ego and I'm dying to see it animated. It feels like a natural progression for Vegeta, as DBS has been hinting at Goku following in Whis' footsteps while Vegeta does so with Beerus. I think Ultra Ego works as this great midway point between Vegeta becoming a God of Destruction and really making his own transformation. Ultra Instinct had, seemingly, already existed before Goku learned it, while Vegeta creates his own transformation for him alone.