We have designed and synthesized a series of novel polyether based amphiphilic liquid crystalline (LC) diblock copolymers composed of pendent hydrophobic LC mesogens and hydrophilic ethylene oxide (EO) oligomers by using sequential anionic polymerization. The majority of this comb-like diblock copolymer is constituted by EO segments except the mesogenic groups which generate the chemical dissimilarity and drive the phase segregation. We have investigated the morphology evolution of the diblock copolymers in dioxane/water co-solvent with continuous tuning of the quality of the solvent, and discovered a systematic morphological transformation from a spherical micelle to a spherical vesicle, and finally to a faceted vesicle with increase of the water content above a critical value. The formation of the structured vesicle is related to the emerging of LC order within the membranes as revealed by in situ wide-angle X-ray diffraction experiments on the polymer solution. The elastic instability imparted from collective LC interactions which is incommensurate with the global topological geometry dictates this unique behavior. This type of faceted capsules on the tens of nanometer scale are expected to be potentially useful in biotechnological applications or drug delivery.