I don't know what a "VUGen" script is really. Is this a part of HP LoadRunner? If so, I think they updated LoadRunner to import SAZ files directly.
If not, if there's a reference for the script format, you could write an Exporter for Fiddler to generate such scripts. Fiddler can already export WCAT load test scripts, and Telerik Test Studio can import .SAZ files directly.