Vectors in Rive are rendered on shape layers. Shape layers allow you to set Fill and Stroke colors for your paths.
The actual shape of a vector is defined by a path (or multiple paths). Expanding a shape layer in Rive will reveal the paths it's using. Path layers only exist under shape layers.
In the example below, two paths are used to create a cross icon. The shape layer, named "Cross Shape" defines the fill color.
To add another path to a shape layer, select an existing path under the desired shape first, then create a new path using either a procedural shape or the pen tool. You can also drag/drop or copy/paste paths from one shape to another.