We lived in Sevilla during Christmas a few years ago, but were in an apartment, so we had our own Christmas Eve dinner. However, I highly recommend the midnight mass in the Cathedral. I love seeing it in use and filled with local families, as opposed to strictly tourists. On Christmas day we ate in a fairly expensive seafood restaurant (La Isla), but I can't say how many restaurants are open. Not many, I assume. As for the vegetarian thing, good luck in Sevilla! La Habanita is good, but I doubt it will be open on Christmas.
I would count on sightseeing on foot, Parque Maria Luisa, Plaza de Espana, the views along the river and just generally enjoying the city outdoors. You will probably stumble upon some hotel bars that are open.
Mantecados are my favorite Christmas cookies and are made from lard. However, it is possible to find them made with olive oil. Get a box as soon as you arrive and spend your down time on Christmas day indulging yourself!