Try PlayerMoveEvent and use event.setTo() to teleport to the new world.
My guess why the error occurrs is that teleport() directly removes the player from the current world's entity list (or HashMap) and adds him to the teleported world. The code that calls PlayerVelocityEvent however is included in a loop through all entities of a world, thus a CuncurrentModificationException is thrown.

Spot on! Using a PlayerMoveEvent instead of a PlayerVelocityEvent works. Thank you!

https://bukkit.org/threads/solved-teleportation-to-an-unloaded-and-potentially-ungenerated-chunk-of-another-world.80415/