I only tried to do this once so I'm not sure of reproducibility: 

I had two neighbors, one the vassal of the other, that I wanted to conquer. I declared war on the liege (as I could not declare on just the vassal alone, which seems intuitive enough) and was placed in a state of war with both the liege and the vassal empires. (Also intuitively correct)

However, I was then unable to enter the vassal's territory, instead getting hit with a message something like: "You have to declare war and you don't have enough War Desire for that." Seems like I should be able to take cities of a vassal while at war with its liege.