In the Time Heist episode of Doctor Who (2014) season 8, Teller caught The Doctor and Clara in the vault and took them to Ms Delphox's office. As to why didn't Teller finish them there in the vault, it's possible that Ms Delphox wanted to ask few questions to the first vault breaker in the history (Teller was mentally linked with her).
But, after Ms Delphox interrogated The Doctor, why did she tell guards to kill (which would be painless) The Doctor and Clara? Why didn't she tell Teller to melt The Doctor's brain? After all, he was guilty of biggest crime of all.