Rumours about the status of the pair's relationship have gathered pace after sources told E! Online this week of their "very close relationship" on the set of the superhero prequel.
Vaughn has also been accused of deliberately avoiding publicity in the wake of the claims by snubbing the film's New York premiere on Wednesday.
However, a lawyer for Vaughn has since branded the story an "absolute lie", according to WENN.
Jones, who stars as Emma Frost in X-Men: First Class, announced her pregnancy back in April, but has yet to identify the baby's father.
She separated from Saturday Night Live actor Jason Sudeikis in January, while Vaughn has been married to supermodel Claudia Schiffer since 2002.
Watch the trailer for X-Men: First Class below.