When I got the same pump (AutoZone?), I had thsi problem. Drove me crazy.
Instead of grease, I unthreaded the bleeder fittings and wrapped teh threads in about 3 wraps of yellow plumbing tape. The stuff used for pipe fiting s etc. Note that yellow is betetr than teh standard white b/c it's oil resistant... the white will eventually be desolved by the brake fluid.
After I did that, very few bubbles.... vacuum pump works great.
The fun part is adding the tape.... when you pull out he the screw, it's start leaking fluid everywhere so you gotta work fast, lol.