We propose a photonic frequency-multiplied vector millimeter-wave (mmW) signal generation scheme based on constant-envelope delta-sigma modulation (CE-DSM). The CE characteristic of phase modulation can easily avoid intensity-dependent nonlinear distortion caused by photonic frequency multiplication. Additionally, combined with one-bit DSM, the in-band signal-to-noise ratio can be dramatically improved, enabling high-order quadrature amplitude modulation (QAM) vector mmW signal generation with high spectral efficiency. Experimental results indicate that a 40 GHz four-fold frequency-multiplied 4096-QAM vector mmW signal generation system is successfully accomplished with 15-km standard single-mode fiber (SSMF) and 1-m wireless transmission, and the bit error ratio (BER) reaches the threshold of 3.8 × 10^-3.