Am I supposed to know who James Vega is?

Solution 1:

No, James was introduced in Mass Effect: Conviction, a mini comic. Even if you played all the DLCs in the original 2 games he will have never been introduced.

Solution 2:

No, not only are you not supposed to know who Vega is, but he's supposed to not know too much about who you are either.

His POV is supposed to provide that of a newcomer to the series. He's the guy that will ask the annoying questions that players skipping the first two games would to fill in the backstory that they're missing.

Solution 3:

James Vega is an Alliance soldier who meets Anderson and is introduced to Shepard to guard Shepard.

I got this from the Mass Effect wiki.