Vector beams display varying polarisation over planes transversal to their direction of propagation. The variation of polarisation implies that the electric field cannot be expressed as a product of a spatial mode and its polarisation. This non-separability has been analysed for particular vector beams in terms of non–quantum entanglement between the spatial and the polarisation-degrees of freedom, and equivalently, with respect to the degree of polarisation of light. Here we demonstrate theoretically and experimentally that Mathieu–Gauss vector modes violate a Bell-like inequality known as the Clauser–Horn–Shimony–Holt–Bell inequality. This demonstration provides new insights on the violation of Bell inequalities by a more general class of vector modes with elliptical symmetry.