I have a 2014 CX5 2wd Sport and every light on the dash is on, when I scanned it, it said vehicle speed sensor A.
I can not find the VSS anywhere. Does anyone know where it is? Is it internal? Does it exist at all? This is my wife's work car and she needs it back so she stops driving mine.

 

An internet search will provide you with the information you require.
They are 4 of them, the front ones on the steering knuckle and the rear are located on the wheel hubs.

 

I have been searching the internet and found nothing that says a wheel speed sensor is the same as a vehicle speed sensor. So you're saying there are no speed sensors in the transmission? All of the speed computation is done solely with the wheel speed sensors? My local Mazda dealership can't tell me for sure but that is what I suspect

 

I do not see that there is a transmission speed sensor in your CX-5.
I do find other model Mazda's that year do have them for the transmission.