Update: I managed to get to this point by using --dumpdir /var/
[root@svr var]# vzdump --dumpdir /var/ --snapshot 101
/dev/cdrom: open failed: No medium found
starting backup for VPS 101 (/vz/private/101) Thu Jul 12 07:08:51 2007
creating lvm snapshot of /dev/mapper/VolGroup00-LogVol02 ('/dev/VolGroup00/vzsnap')
/dev/cdrom: open failed: No medium found
Insufficient free extents (1) in volume group VolGroup00: 16 required
Rounding up size to full physical extent 512.00 MB
umount: /vzsnap: not mounted
/dev/cdrom: open failed: No medium found
One or more specified logical volume(s) not found.
creating backup for VPS 101 failed (0.02 minutes): command '/usr/sbin/lvcreate --size 500m --snapshot --name vzsnap /dev/VolGroup00/LogVol02' failed with exit code 5 at /usr/bin/vzdump line 107.