This situation occurred recently with one of my mentees who vanished. They are still my mentee. To replicate this, you will need a test user that you can vanish.

Steps to replicate the issue:

• Claim a test user as your mentee
• Vanish the user
• go to the vanished user's talk page (or user page); e.g., in my case, here
• execute {{#mentor:...}} on their talk page (or any page)
• observe the result

What happens?:

• Vanished user remains the mentee of their previous mentor

What should have happened instead?:

• Vanished users should be automatically opted out from mentorship

I still have the pre-vanish username available for the vanished mentee; contact me via email if you need it for testing.