Not directly though, I don't mean he physically created them, but it's his fault they are here. Our universe has is seen as Oryx's "Throne World" Excerpt from XXXVIII: The partition of death "Oryx went to his son, Crota. “Go keep an eye on your sisters,” he said. “'You can learn cunning from them.” But while Oryx traveled to observe the Deep destroy an ancient fortress world, Crota conspired with his sisters to learn their secrets. “I too will experiment with a wound,” he said. With his sword Crota cut open a new wound, into a new space. In here he thought he might obtain a secret power. Out of this wound came machines called Vex. They invaded Oryx’s throne world." If yoy read the full fragment, Crota's sisters created a new form of magic, something they called an "oversoul", Crota was told to watch over them and make sure they don't do anything stupid, but instead crota worked with them. Causing the Vex to find a way into our world.