Your opponent can't sacrifice a creature that isn't a Goblin when casting Goblin Grenade.
If they did have a Goblin, you can't interrupt the process of casting Grenade with Vapor Snag. The sacrifice is a cost, which will already have been paid by the time you get priority to respond.
Will I receive the damage from Goblin Grenade, since there was no token on the battlefield to sacrifice too?
If they did have a Goblin, you can't interrupt the process of casting Grenade with Vapor Snag. The sacrifice is a cost, which will already have been paid by the time you get priority to respond.
Thank you for the clarification.