Close. Not a vacuum but air that has expanded because of the heat. Like a hot air balloon (but the cupping device is still heavier than the surrounding unheated air.) When the cup is applied to the skin it, and the air inside, cools and the outside air pressure makes it "stick" in place... and because skin is pliable, it takes up some of the space vacated by the cooling air.

There are Chinese (and other) practioners who do cupping for therapeutic effects.

There are also mechanical cups, with one-way valves that allow you to pump out air to get the same effect.