Why did Vegeta turn to stone?

[Deity]

That's a weird thought.

[Rocketman]

Perhaps Vegeta's just so good that he's worked out the most efficient and powerful way to self-destruct, or something.

Maybe it's an enhancement of the 'Explosive Wave' he was using way back in the Saiyan arc?

[Piccolo Daimao]

I think that, in releasing all of his ki in that enveloping blast, he'd unnaturally dried up the ki in his body, so he just turned to ash. His self-destruction was different to someone like Chaozu's, because he released all of his ki in a wide blast that envelopes the opponent, while Chaozu literally blew up his body inside, leaving no remains.

And perhaps it's worth mentioning that Daizenshuu 7 does list Saibaimen/Chaozu/Cell/Android #16's self-destruction technique and Vegeta's self-destruction technique seperately (with the latter's attack named "Final, Last Attack").

[Bussani]

Talking about "drying up", it reminds me of that old Adam West Batman movie where the villains use a machine to steal the water from people, turning them into dust. It might be from seeing something like that in my youth that I just accepted something like expelling every last bit of your ki turns you to ash.

[DaemonCorps]

I saw the scene in the anime first, so I always thought that him turning to stone was some kind of side-effect of still being under Babidi's control (or lack of it at this point). Vegeta does mention while fighting Goku that he fell under Babidi's magic on purpose to gain a bit of boost in terms of power, so it would make sense for the magic to have some kind of influence when he does his final attack against Buu.