All three are hollow tubes. Arteries are round and thick. Veins are flat and have thinner walls than arteries. Capillaries are small. Now, decide what you can use for your model.
Common materials are often best and cheapest to work with when making models.
Different kinds and sizes of pasta might work for these models. Different sizes of rubber tubing might do just as well. Cut and glue the different noodles or tubing onto thick paper so the openings can be seen. Then label each. A working model of a volcano can be made from clay, a small amount of baking soda, vinegar, and a bottle cap.