How to debug an issue in a proprietary SQL database

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Our application from a vendor is using SQL Server 2008 R2 as its database on the backend. Although rarely, but sometimes an issue comes up that we think is related to their database (for example a performance issue etc.). We cannot modify their propriety database but want to detect transactions going into that proprietary(vendor) database and react accordingly. Question: How can we achieve the above in their propriety SQL Server database?

UPDATE

I probably did not phrase the above question well. So, I'm writing this update. What I mean is the following: In a similar scenario for another application that uses propriety Oracle database in its backend we use Oracle’s LogMiner utility to detect transactions going into that proprietary(vendor) database and react accordingly.

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You can't. You can talk to the vendor and see if they'll give you an admin login/password into the database directly, but they aren't likely to want to for fear that you will break something and then blame them for it. Your best bet is to file a bug report with the vendor and pressure them to fix the underlying problem.