I could be wrong, but there are a number of Proxmox terms that are identical to other, closely related technologies - and that's unfortunate.
For example, Proxmox and VM tech in general uses the term "Snapshot" referring to a point-in-time copy of a virtual machine. Something you can quickly rollback to or restore if things go sideways within that VM.
ZFS file system also has the term "snapshot", which is a read-only copy of the entire filesystem/volume. These are typically leveraged for consistent backups, because you can mount the snapshot and be assured nothing will change on it throughout the duration of your backup.
To complicate matters, and I'm still learning so someone should correct me if I'm wrong, Proxmox uses ZFS snapshots for some tasks/jobs, notably Replication (and possibly Migration when using node-local storage).
So if you're looking for a volume that VEEAM can snapshot for backups, I think you have to use ZFS on Proxmox VE. If you want a filesystem that supports snapshots of individual VMs, you could use LVM/lvm-thin instead.