I'm not sure how large or what shape the thrust-vectoring nozzle is. Is this cylindrical or conical? Have you ruled out vacuum-forming?
I have used sheet styrene to build the cowling on an F4 Corsair I'm scratch-building. This piece is mostly a cylinder (with the very front tapered and built separately). I did this by vacuum-forming a cylindrical piece of balsa that was first cut in half length-wise. Maybe you could try something like this.
I realize you may not be needing or wanting to go to such lengths, but thought this is a possibility.
By the way, I'll include a link to an earlier thread I posted that shows some of the shapes I have vacuum-formed.