http://vyos.net/wiki/Howto_build_an_ISO_image
build-iso# make iso
cd livecd && ./mk.livecd
I: cleaning earlier build
I: configuring build
I: Using Debian mirror http://dev.packages.vyos.net/debian/lithium
I: Using Debian bootstrap mirror http://dev.packages.vyos.net/debian/lithium
I: Using VyOS package mirror http://dev.packages.vyos.net/vyos
P: Considering defaults defined in /etc/live/build.conf
P: Creating config tree
I: building bootstrap
P: Setting up cleanup function
P: Begin caching bootstrap stage...
P: Begin bootstrapping system...
P: If the following stage fails, the most likely cause of the problem is with your mirror configuration or a caching proxy.
P: Running debootstrap (download-only)...
I: Retrieving Release
E: Failed getting release file http://dev.packages.vyos.net/debian/lithium/dists/squeeze/Release
P: Begin unmounting filesystems...
E: bootstrap build failed
It looks like the lithium repository is not yet setup. I built all the packages from source, so I am not sure what it needs to fetch from that repository.