Translation:How are you, Eilidh and Elizabeth?
Technically the vocative is still used, it just has the same form as a nominative. ;-)
But yes, the a disappears before vowels.
You’ll see this clearly with masculine names starting with a vowel, eg. Eòghann (Owen, nominative), ciamar a tha thu, Eòghainn (vocative, with no a before it).
There are three issues related to vocatives, so let's look at at them.
Firstly, the a is not part of the vocative, but it is used with the vocative. The issue here is that it not used before a vowel.
Secondly, the a causes lenition. But vowels do not lenite.
Thirdly, masculine singular nouns that end in a broad consonant slenderize by adding an i. There are two problems here. One is that these names are feminine, and two that they have slender final consonants anyway, as is very common for feminine nouns. So that is two reasons for no change.