It could be considered exploitative to found or capture a bunch of Cities and then hand them off to your Vassal.
The AIs certainly wouldn't be programmed to do so, thus allowing this behaviour would just create a potential exploit for a human to abuse.
Consider, say, the Domination Land Limit: if you are approaching it but want to keep playing the game (say, in order to win a Space Victory), then it would be rather cheesy to be able to just give away any old random City to a Vassal of yours.
However, rather than completely prevent you from giving Cities to your Vassals, a design decision was clearly made to allow you to gift Cities where said Vassal has some Culture of their own within the City's centre square.
So, it is by design that if you take over the Indian empire and make them your Vassal that you can gift and/or liberate some Cities that were once theirs or where they had some Culture in the City, but at the same time, you can't just go gifting them Cities that you captured from another empire on a different part of the map... if you could, then your Vassals would essentially be "placeholders" or "mules" for holding the lands that you did not want to keep--a concept that really sounds like exploiting the dynamics of the Vassal concept.
Before accepting the AI as your Vassal, there's nothing to stop you from allowing said AI to capture some of the Cities that you want them to own in the future. Once they have captured those Cities, then make them your Vassal--as long as no other AI chooses to become their Master first!
Another option is to make the Romans another one of your Vassals and to Liberate back a lot of the Roman Cities to the Romans after the war is over. The Romans will like you a whole lot more for having done so and thus they might be more willing to trade with you after the war, even if you have a lot of prior negative Diplomatic modifiers (say, for declaring war on them, declaring war on their friends, having traded with their worst enemy, etc).
