Here's the table (nothing strange, has about 12 million rows).

	CREATE TABLE vehicleevent
	(
	  event_id bigserial NOT NULL,
	  veh_id integer NOT NULL,
	  .
	  .
	  .
	  CONSTRAINT pk_vehicleevent PRIMARY KEY (event_id),
	  CONSTRAINT fk_vehicleevent_vehicle FOREIGN KEY (veh_id)
	      REFERENCES vehicle (veh_id) MATCH SIMPLE
	      ON UPDATE CASCADE ON DELETE CASCADE
	);
	CREATE INDEX ix_vehicleevent_veh_id
	  ON vehicleevent
	  USING btree
	  (veh_id);

Case A:
	No rows in table for the veh_id requested (LIMIT set to 5145 or larger by trial and error). This works as expected.
	"select count(*) from vehicleevent where veh_id=3" returns 0 rows.

	SELECT * FROM vehicleevent WHERE veh_id = 3 ORDER BY event_id
	LIMIT 5145

	Execution plan:
		"Limit  (cost=83309.05..83321.91 rows=5145 width=64)"
		"  ->  Sort  (cost=83309.05..83388.32 rows=31709 width=64)"
		"        Sort Key: event_id"
		"        ->  Bitmap Heap Scan on vehicleevent  (cost=599.32..81195.81 rows=31709 width=64)"
		"              Recheck Cond: (veh_id = 3)"
		"              ->  Bitmap Index Scan on ix_vehicleevent_veh_id  (cost=0.00..591.39 rows=31709 width=0)"
		"                    Index Cond: (veh_id = 3)"

	Result:
		Total query runtime: 16 ms.
		0 rows retrieved.

Case B:
	No rows in table for the veh_id requested (LIMIT set to 5144 or smaller). This is very slow and causes intensive physical disk access.
	"select count(*) from vehicleevent where veh_id=3" returns 0 rows.

	SELECT * FROM vehicleevent WHERE veh_id = 3 ORDER BY event_id
	LIMIT 5144

	Execution plan:
		"Limit  (cost=0.00..83317.96 rows=5144 width=64)"
		"  ->  Index Scan using pk_vehicleevent on vehicleevent  (cost=0.00..513594.34 rows=31709 width=64)"
		"        Filter: (veh_id = 3)"

	Result:
		Total query runtime: 55141 ms.
		0 rows retrieved.