In this paper, we develop a coupled immersed boundary (IB) and immersed interface method (IIM) to simulate the electrodeformation and electrohydrodynamics of a vesicle in Navier-Stokes leaky dielectric fluids under a DC electric field. The vesicle membrane is modeled as an inextensible elastic interface with an electric capacitance and an electric conductance. Within the leaky dielectric framework and the piecewise constant electric properties in each fluid, the electric stress can be treated as an interfacial force so that both the membrane electric and mechanical forces can be formulated in a unified immersed boundary method. The electric potential and transmembrane potential are solved simultaneously via an efficient immersed interface method. The fluid variables in Navier-Stokes equations are solved using a projection method on a staggered MAC grid while the electric potential is solved at the cell center. A series of numerical tests have been carefully conducted to illustrate the accuracy and applicability of the present method to simulate vesicle electrohydrodynamics. In particular, we investigate the prolate-oblate-prolate (POP) transition and the effect of electric field and shear flow on vesicle electrohydrodynamics. Our numerical results are in good agreement with those obtained in previous work using different numerical algorithms.