Data augmentation has been shown to effectively improve the performance of multimodal machine learning models. This paper introduces a generative model for data augmentation by leveraging the correlations among multiple modalities. Different from conventional data augmentation approaches that apply low-level operations with deterministic heuristics, our method learns a generator that generates samples of the target modality conditioned on observed modalities in the variational auto-encoder framework. Additionally, the proposed model is able to quantify the confidence of augmented data by its generative probability, and can be jointly optimised with a downstream task. Experiments on Visual Question Answering as downstream task demonstrate the effectiveness of the proposed generative model, which is able to improve strong UpDn-based models to achieve state-of-the-art performance.