If you react with Ambush to Vex going to battlefield, does it get stun?

Yes, if you play a unit with Ambush into a battlefield where your opponent controls Vex, Apathetic, that unit will be stunned.

Reasoning

1. Trigger Condition: Vex, Apathetic has the ability: "When an opponent plays a unit while I'm at a battlefield, [Stun] it."
2. Ambush Timing: Ambush allows you to play a unit as a [Reaction] to a battlefield where you already control units (Rule 822.1.b).
3. Interaction: When you play a unit via Ambush, you are still "playing a unit." Because Vex, Apathetic is at a battlefield, its triggered ability activates the moment your unit enters the board.
4. Chain Resolution: Even though you played your unit as a [Reaction] (which allows you to play it while the game state is Closed), the act of playing the unit still triggers Vex, Apathetic. Vex's ability is placed on the chain and will resolve, stunning your unit.

Sequence of Events

1. Game State: A showdown or combat is ongoing (or another effect has created a Closed state).
2. Action: You play your unit with Ambush as a [Reaction] to the battlefield.
3. Trigger: Your unit enters the board. Vex, Apathetic's triggered ability ("When an opponent plays a unit...") is added to the chain.
4. Resolution: The chain resolves (LIFO). Vex, Apathetic's ability resolves, and your unit is stunned.

This is consistent with RiftJudge FAQ #9240, which confirms that Vex, Apathetic stuns any enemy unit played while Vex is at a battlefield, regardless of the location or the method used to play the unit.