Sure thing. If you grab the video’s embed code you can use that in the HTML widget. You can find the embed code by clicking the paper airplane icon on the Vimeo page. Let me know if that works for you. Thanks!
You can find the HTML module in the Basic Modules. If you wish to add HTML to a widget, you will want to use the Text widget which can be found in your WordPress Admin Dashboard > Appearance > Widgets > Text Widget.