The photon-assisted method easily generates and modulates broadband vector millimetre-wave or terahertz signals. The generation and transmission performance of its multi-band vector millimetre-wave signal is analysed in VPI and MATLAB environments using the coherent optical path structure of the cascade of the intensity modulator and the in-phase/quadrature (I/Q) modulator, combined with the probabilistic shaping technology. The transmission performance of two single-sideband vector signals with a net bit rate of 32 Gbit/s in uniform 16-ary quadrature amplitude modulation (16QAM) format and in a probability-shaping 16QAM format is compared and studied on the carrier frequencies about 70 GHz and 130 GHz, respectively. The simulation results show that the probabilistically shaped 16QAM millimetre-wave signal outperforms the uniform 16QAM millimetre-wave signal in optical fibre transmission. When the nonlinear effect of the fiber is considered, the probabilistically shaped signal has greater transmission advantages.