Not recommended for the PD engine in the A2. If you do this, you're best off with a TDI which predates the PD and CR engines. It'll eventually gum up the engine so using an older car is best anyway, since its cheap to scrap & replace it (If you notice, the older cars are rated for a higher percentage of biodiesel than the newer ones). Do also keep an eye on the oil level - if it rises, stop using veg oil immediately. The veg oil can sneak past the piston rings into the sump, and that's a really bad thing for a couple of reasons.
I've run a VW Vento with 75% veg oil, it was smoky as anything at the higher percentages but did 40K miles OK. You can buy the filtered oil from a place near Abingdon (at least you could a few years ago). Just don't ever put it into an A2, get a scrapper instead.