It sounds like you are getting to much air into the system and causing an air lock. Try submerging the vacuum and the hose in the pool to get all the air out of it before hooking it up to the skimmer.
My swimming pool seems to have a leak or the sand filter is not working properly. The pool will not prime and I have checked everything, but the filter.
It all depends how you have got your system set up. For example you can have the pump switched to 'waste' and whatever you vacuum should go straight out of the drain pipe. If, however you leave the pump on 'filter' it should collect the dust and filter it. It could also be an air-lock in the Vacuums tube.