The lipids form vesicles in presence of water due to hydrophobic effect. In other word water is the driving force for vesicle formation. In organic solvent the vesicle will simply dissolve out. Do you expect micelle formation in absence of water?
Water is necessary in the core. In absence of water it will be a vacuum like situation, which is unstable, and will lead to collapse of vesicle. As a result during characterization cryo-SEM/TEM is preferred over normal SEM/TEM.