I do not know the constructions of Deligne-Mumford; so let us suppose that the moduli space $\mathcal{M}_g$ of Riemann surfaces of genus $g$, with $g>1$, is constructed using the moduli of abelian varieties.
Now given a point $x \in \mathcal{M}_g$, which actually corresponds to some Riemann surface $X$ of genus $g$, consider the vector space $H^1_{\mathrm{dR}}(X) $. This associates a real vector space to each point in $\mathcal{M}_g$. Is there a natural way to make this into a vector bundle?