So there were a few things I was doing incorrectly, helpfully pointed out by Sga.
You can't use vclick. For whatever reason, this jQM plugin isn't using an established jQM event to handle it's stuff. I was previously listening to the vclick event:
$parent.on('vclick', '[data-role=collapsible] a', function() {});
You can't bind the thing you want to prevent default on on a parent. For example:
$parent.on('click', '[data-role=collapsible] a', function() {});
That doesn't work, you have to bind it after the elements are rendered a la:
$('.collapse-target', $list).on('click', function() {});
After doing all that, which totally isn't optimal, I was able to achieve the effect I wanted. It's too bad this feature wasn't included out of the box for the collapsible widget. Hopefully this helps someone.