Air carrier Captain reported the flight crew received a GPWS alert on approach to MMMX/MEX Runway 5R despite the VASI lights indicating that the aircraft was on glideslope and realized the VASI was malfunctioning.

Narrative

On the ILS approach to 5R in MEX at around 500 feet AGL the glideslope was on target but the VASI indicated 4 white. It was VMC so I turned off the autopilot and stated on VASI." At around 300 feet AGL I showed 2 white and 2 red VASI lights but the audible "glideslope" GPWS began to aurally alert. It continued after I called continuing because I had visual of the runway and still 2 white and 2 red VASI and was at the aim points. The "glideslope" call continued until crossing the displaced threshold. About there is where I realized the VASI was giving erroneous information as the second light from the left was still white but the far left was red meaning it was indicating 1 white 3 red but that red bulb was broken and shining only white. After an uneventful landing in the touchdown zone and after pulling off I asked the FO what he saw on VASI and he stated 2 white 2 red all the way. That's when I told him the VASI was broken but only noticeable at an angle almost reaching the VASI themselves. We both rechecked and there were no NOTAMs for the VASI."