There is no risk here. Germs need a human host to survive, and die quickly outside the body.
Even though vaseline is a moist environment, nothing can survive long enough to infect. Anything that might have been in the vaseline would degrade enough, if not die, and could not infect you.
Is anxiety an issue for you normally? You should talk to your doctor about that. Also, if you want to continue to get erotic massages, you can easily bring your own lube and ask them to use it if that will ease your mind.