To have Vega climb the cage in Street Fighter Alpha 3, you need to be in a stage that features a cage, like the one in the "Cage" stage. During the match, when Vega is on the wall, you can perform his wall dive move by executing a charge motion (back, forward, and then punch) while facing the wall. This will allow him to climb up the cage and perform aerial attacks. Timing and positioning are key to successfully executing this maneuver.
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