Is he walljumping? Neutral jump attacks/jump back attacks shut that down. Trust me, I play Seth, I know.
http://sonichurricane.com/?p=852
Now Dhalsim is a straight motherfucker because of his instant air teleport. Even if you punish it, you probably reset him in the air on the wrong side. There are some ways around this - specifically to dash underneath him before punishing the teleport, doing a move that knocks down, dashing underneath after you reset him, or simply going for a crossup after resetting him. But even if you don’t keep him in the corner, once you hit him out of the teleport you end up next to him, which is basically where every character wants to be against Dhalsim.
Vega can’t just walldive out of the corner without being punished, you can at least punish his landing.
The trick is to know when to take those few steps to move close to them. Most bad players will simply try to get out of the corner immediately, so just be patient and punish it. Usually you never even get to the point where you get to actually apply corner pressure because they’re too scared of it so they die trying to get out.