t, Sql Server - rextester

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CREATE TABLE vacations
    ([country] varchar(60), [user_name] varchar(5), [user_id] int, [vac_date] datetime)
;
    
INSERT INTO vacations
    ([country], [user_name], [user_id], [vac_date])
VALUES
    ('canada', 'James', 1111, '2015-02-13 00:00:00'),
    ('canada', 'James', 1111, '2015-02-17 00:00:00'),
    ('canada', 'James', 1111, '2015-02-18 00:00:00'),
    ('canada', 'James', 1111, '2015-02-10 00:00:00'),
    ('canada', 'James', 1111, '2015-02-11 00:00:00')
;

CREATE TABLE holidays
    ([country] varchar(60), [holidayDesc] varchar(10), [holidayDate] datetime)
;
    
INSERT INTO holidays
    ([country], [holidayDesc], [holidayDate])
VALUES
    ('canada', 'Family Day', '2015-02-16 00:00:00')
;

with 
 N0 as (SELECT 1 as n UNION ALL SELECT 1)
,N1 as (SELECT 1 as n FROM N0 t1, N0 t2)
,N2 as (SELECT 1 as n FROM N1 t1, N1 t2)
,N3 as (SELECT 1 as n FROM N2 t1, N2 t2)
,N4 as (SELECT 1 as n FROM N3 t1, N3 t2)
,N5 as (SELECT 1 as n FROM N4 t1, N4 t2)
,N6 as (SELECT 1 as n FROM N5 t1, N5 t2)
,nums as (SELECT ROW_NUMBER() OVER (ORDER BY (SELECT 1)) as num FROM N6)

INSERT INTO holidays
SELECT 'Weekend' as [country],
       DATENAME(weekday,DATEADD(day,num-1,'20150101')) as [holidayDesc],
       DATEADD(day,num-1,'20150101') as [holidayDate]
FROM nums
WHERE num <= DATEDIFF(day,'20150101','20151231') + 1
and DATENAME(weekday,DATEADD(day,num-1,'20150101')) IN ('Saturday','Sunday')
;

WITH joinDates as (
    SELECT [country], 
           [user_name], [user_id], [vac_date], 'vacation' as description
    FROM vacations
    UNION ALL 
    SELECT c.[country], 
           u.[user_name],
           u.[user_id],
           [holidayDate], 
           'holiday' as description
    FROM holidays     
    CROSS JOIN (SELECT DISTINCT [country] FROM vacations) c
    CROSS JOIN (SELECT DISTINCT [user_name], [user_id] FROM vacations) u    
)    
Select user_name
      ,startDate = min(vac_date)
      ,endDate   = max(vac_date)
      ,consecutiveCount = count(*)
From  (
        Select *
              ,Grp =  Day(vac_date) - Row_Number() over (Partition By country,user_id Order by vac_date)
         From  joinDates S
      ) A
WHERE description = 'vacation'      
Group By user_name, Grp
Having count(*)>1
ORDER BY startDate

View schema
Execution time: 0,09 sec, rows selected: 2, rows affected: 110, absolute service time: 0,23 sec