A coupled nonlocal nonlinear Schrödinger equation describing the propagation of the polarized vector light pulses in a weakly anisotropic waveguide with nearly instantaneous nonlinear response is introduced in the framework of the slowly varying envelope. This new equation reduces to the scalar nonlocal nonlinear Schrödinger equation in the particular case of a linear polarization of the light beam and, in the dispersionless regime, can support, in addition to the rectilinear polarization, the stable circularly and elliptically polarized compact bright (CB) pulse with an arbitrary nonlinear phase. More interesting, the exact analytical expression of the two-cycle circularly polarized CB pulse is also derived. We believe the results provide useful insight into the interaction between polarized CB pulses, namely, the strength and the period of interaction. It appears that this interaction results from the phenomenon of energy exchange between the two components of CB light pulses and can be suppressed by adjusting either their separation distance and the phase difference or the amplitudes of the two pulses. The efficiency of these analytical results has been confirmed by numerical simulations.