I have no idea where there is a import_vanilla.sh. Did you have a look at How to migrate from Vanilla to Discourse! , oh, but you want to run the vanilla_mysql.rb script.
But maybe that script is failing trying to import the database into mysql?
I’d have a look at the various import script topics. They are all pretty much the same except running the script (and a few details about how to configure it to find your database). Find one that makes sense to you, works from inside a production container (it’s usually easier than getting development configured, but it’s still tricky, as you need to add some stuff to the container), and work from there.