Canadian Traveling to Thailand/Vietnam - Visa Questions

I'm flying to Thailand tonight with the goal of staying there for 10 days then flying on to Vietnam. I am still waiting for the e-visa from the Vietnamese government and haven't booked my flight to Vietnam just yet as a result.

I realized that I need an exit flight from Thailand otherwise I will not be allowed to board. So here is my question, will the airline/immigration I deal with flying to Thailand care about the fact that I don't have the visa for Vietnam?

If they don't I was thinking of booking the flight to Vietnam and if I don't get the visa, go to a different country. But if they do care I was considering booking a refundable ticket to another country to show I have an exit ticket while I wait to hear back in my visa status.

Thanks!