We investigate the relation between quantum nonlocality and gravity at the astrophysical scale, both in the classical and quantum regimes. Considering a gedanken experiment involving particle pairs orbiting in the strong gravitational field of ultra-compact objects, we find that the violation of Bell inequality acquires an angular modulation factor that strongly depends on the nature of the gravitational source. We show how such gravitationally-induced modulation of quantum nonlocality readily discriminates between black holes (both classical and inclusive of quantum corrections) and string fuzzballs, i.e., the true quantum description of ultra-compact objects according to string theory. These findings promote Bell nonlocality as a potentially key tool in putting quantum gravity to the test.