Am I entitled to bereavement leave even if I am on vacation?

Bereavement leave, the same as vacation time, is a discretionary benefit. This means that an employer does not have to provide it. And even if it does am employer can typically instruct an employee as to the circumstance under which it may be granted. So it appears that your employer has not violated any laws. That having been said, if there is a union/employment contract or company policy to the contrary you may have a claim. Also if you think that some form of discrimination was the reason that such leave was not granted.