No. Vexing Devil has one single triggered ability. Your opponent makes the choice while the ability is resolving. Players may only cast spells when they have priority, and no one gets priority during an ability resolving.
So you can only cast it BEFORE your opponent makes his choice. Once he announces his taking 4 damage, it'll be too late
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If the opponent chooses to take the Vexing Devil damage, can the player play Desperate Gambit in response?
So you can only cast it BEFORE your opponent makes his choice. Once he announces his taking 4 damage, it'll be too late