Malaga or Granada

You may or may not find interest in these sites in Granada
https://theculturetrip.com/europe/spain/articles/20-must-visit-attractions-in-granada/

We stayed 3 nights in Granada last January; in retrospect a day trip would not be enough.
We then went from Granada to Malaga by bus for a night in retrospect 2 nights would have been better,

We spent four weeks in Malaga this past winter and loved it! It's a big enough city that transport connections are easy. The city center is beautiful and has lots of shops and restaurants. The city has beautiful gardens and a nice promenade by the sea plus a large cathedral, museums and plenty of other sights to keep you busy. We took day trips by bus to Marbella and Nerja. We took the bus to Granada and spent two nights. We really enjoyed the city, especially walking around the Albaicin neighborhood, as well as the Alhambra. I'm happy we spent two nights there though one night would have covered most of what we were interested in.

We had a 3-week trip to Madrid and Andalusia in October 2017, We stayed three nights in Granada and one night in Malaga (with several nights at Nerja/Frigiliana in between). I would recommend staying two nights at Granada vs. a day trip. The Alhambra will take an entire day. Stay the next day to see the town’s interesting neighborhoods, have lunch at Los Diamentes, take the small bus to the top and walk down through the Albaicin, and finish your day watching the sunset from the San Nicolas viewpoint.

There are definitely sights in Granada beyond the Alhambra. I'd recommend 3 nights there, actually. Malaga is an attractive coastal city but from a tourist standpoint I don't think it is remotely in Granada's class.

Vejer is a pretty place but not very large. I trust you'll have a car for day-trips (Cadiz would work), are visiting family or have other special plans.

I think that means six days. I'd split it equally between the two cities. Both have plenty to see and both have easy day-trip options by public transport if you want something different. Malaga has more individual sights (but not the Alhambra of course), but Granada is more attractive for wandering around.

However, I'd also split it based on the travel time (and also where you are going next when you leave). I suspect coach/ bus from Vejir to Granada is a long trip, taking much of the day.

Both Malaga and Granada are wonderful cities so probably Nick is right. Malaga has more in the way of museums and is nice for strolling around and the beach is nearby
https://slowtravelitalyspain.blogspot.com/2019/01/malaga-in-march-trip-report.html
but Granada has the Alhambra and the Albaicin area which are spectacular just for start plus lots of other interesting buildings and things to see.
https://slowtravelitalyspain.blogspot.com/2019/04/granada-in-march-trip-report.html
We stayed in both a week so I would probably spend less time in Vejer unless you are using it as a base for the beaches.
https://slowtravelitalyspain.blogspot.com/2019/04/granada-in-march-trip-report.html

To me, Granada is worth no more than three nights. That allows plenty of time to see the sights.

Thank you all! Such great suggestions. Can't wait to go!