February 10-11 1990 "Vogue" was directed by David Fincher and shot at The Burbank Studios in Burbank, California.

The video was directed by David Fincher and shot at The Burbank Studios in Burbank, California on February 10–11, 1990. According to Lucy O'Brien in her book Madonna: Like an Icon, the video was brought together after a "huge casting call" in Los Angeles where hundreds of different sorts of dancers appeared.

Filmed in black-and-white, the video recalls the look of films and photography from The Golden Age of Hollywood with the use of artwork by the Art Deco artist Tamara de Lempicka and an Art Deco set design. 
Many of the scenes are recreations of photographs taken by noted photographer Horst P. Horst, including his famous "MainbocherCorset", "Lisa with Turban" (1940), and "Carmen Face Massage" (1946). Horst was reportedly "displeased" with Madonna's video because he never gave his permission for his photographs to be used and received no acknowledgement from Madonna. Some of the close-up poses recreate noted portraits of such stars as Marilyn Monroe, Veronica Lake, Greta Garbo,Marlene Dietrich, Katharine Hepburn, and Jean Harlow. (Additionally, several stars of this era were name-checked in the song's lyrics.) Several famous Hollywood portrait photographers whose style and works are referenced include George Hurrell, Eugene Robert Richee,Don English, Whitey Schafer, Ernest Bachrach, Scotty Welbourne, Laszlo Willinger, and Clarence Sinclair Bull.

The video features the dancers for Madonna's then-upcoming Blond Ambition Tour. The choreography was set by "Punk Ballerina" Karole Armitage. The video world-premiered on MTV on March 29, 1990.

There are two versions of the video, the regularly aired television music video, and the 12" remix, which is the extended version over three minutes longer.

Synopsis

Madonna wearing the controversial sheer lace blouse in the black and white "Vogue" music video.

The black-and-white video, set in Art Deco-themed 1920s and '30s surroundings, starts off showing different sculptures, works of art, as well as Madonna's dancers posing. Along with this are images of a maid and a butler cleaning up inside what seems to be a grand house. When the dance section of the song starts, Madonna turns around, and, similarly to the lyrics, strikes a pose. The video progresses, and images of men with fedoras, Madonna wearing the controversial sheer lace dress and other outfits, follow. As the chorus begins, Madonna and her dancers start to perform a vogue dance routine, where she sings the chorus as her dancers mime the backing vocals. After this, other scenes of Madonna in different outfits and imitations of golden-era Hollywood stars progresses, after which there is a scene with Madonna's dancers voguing. Finally, after this scene, Madonna can be seen wearing her iconic "cone bra", after which she also performs a dance routine with a fellow dancer. As the rap section begins, different clips of Madonna posing in the style of famous photographs or portraits of Hollywood stars, begins, ultimately followed by a choreographed scene with her dancers and backup singers.

Source: https://en.wikipedia.org/wiki/Vogue_(Madonna_song)