If the cinder blocks are empty, a standard masonry drill bit in the 3/4 inch (19 mm) range plus a sawzall (which can be inexpensively rented, but you'll have to buy a blade).
Trace a duct end onto the blocks where you want the hole: it is best that the edges of the hole be at least an inch (3 cm) away from cinder block edges and mortar but can go through them.
Drill the 3/4 inch pilot hole inside but near the circle's line. Use care to get it square (perpendicular) all the way through and press lightly as it passes through the opposite face. (If you drill the hole right on the line, there will be an unsightly gap to deal with later.)
Place sawzall into the hole and—if you haven't used one before, practice by cutting toward the center of the circle—cutting slowly to avoid fracturing the brittle material. Until you get a feel for how much chipping it does, stay safely away from the line—an inch should be enough at first. (See example video.)
The hole need not be big enough for the full height of the sawzall blade. It can be started in about half its full width.
When cutting through the block edges and mortar, angle the saw as shown. Repeat from other side to finish cutting through.
Yes you can set drywall directly to the block wall. If it intersects with an exterior wall that is exposed to the weather, I would place a layer of poly of out of the intersecting corner, if accessible, out no more than 2', 18" would probably be better, vertically to prevent any moisture coming through the block and getting into the sheetrock. Use drywall clips to hold the corner, so no nails go through the plastic. If it does not, ignore this recommendation.
To mount the drywall use a glue in the large tubes, you will go through a lot. Blob on golf ball sized portions of glue on an approx. 16"X16" grid. Set your drywall onto that and secure directly into the block with drywall nails. that is if they pass the test.
To test your nails drive a few drywall nails into the face of the block before you start your drywall install. Do not nail in the joints, the mortar is much denser. On true cinder block, not slag block, (slag block is a newer process ) I have run 1 1/4" drywall screws right into the block, that may do what you need right away. Other nails to try just to hold the sheetrock long enough for the glue to grip are roofing nails. Find one of theses that is suitable for your install.
After you sort out which fasteners to use, hold the sheetrock tight to the wall in the place you want to nail or screw. Set your fastener, some help here would be beneficial and set a few more before you move down the sheet to add more. The amount of fasteners needed will be only enough to hold the sheet flat, the glue will do the rest.
Best Answer
Since concrete blocks are fairly thick, I'd drill several holes along the line you want to cut with a masonry bit, then use a use a mini jack hammer such as a small DeWalt with a 1/2" chisel bit. The hole will not be perfect shape etc, so you will need to fill around the vent after installed with some mortar. The pilot holes will help keep the hole in a rough shape and avoid breaking off large pieces of the block. Even it some block breaks, you can fix it up after with the mortar mix.