Can I say that vector is more like a "unique identity" of an entity in space rather than calling it an entity with magnitude and direction ?
For example a line. A vector $(10,10,0)$ is the identity of a unique line that starts from $(0,0,0)$ and ends up at $(10,10,0)$ .
Can I apply this notion everytime, everywhere in math and physics ?
In fact, in maths first you define vector space as a module over a field (take a look at wiki article). And only then you define a vector as an element of a vector space. Moreover, in most cases the "direction" is not a notion one can easily describe. Take, for example, Lebesgue spaces, or any banach space of infinite dimension.
In physics, mostly in analtical mechanics, it's not uncommon to see a reasoning of the type "let's take a vector from point $A$ to point $B$", which begs to define vectors as a class of equivalence (magnitude and direction). All such approaches are equivalent to a formal one, so it's up to you to chose one that makes the reasoning concise and clear.