The velocity distribution of stars is a sensitive probe of the gravitational potential of the Galaxy, and hence of its dark matter distribution. In particular, the shape of the dark halo (e.g. spherical, oblate, or prolate) determines velocity correlations, and different halo geometries are expected to result in measurable differences. Here we explore and interpret the correlations in the (v R , v z)-velocity distribution as a function of position in the Milky Way. We selected a high-quality sample of stars from the Gaia DR2 catalogue and characterised the orientation of the velocity distribution or tilt angle over a radial distance range of [4−13] kpc and up to 3.5 kpc away from the Galactic plane while taking into account the effects of the measurement errors. We find that the tilt angles change from spherical alignment in the inner Galaxy (R ∼ 4 kpc) towards more cylindrical alignments in the outer Galaxy (R ∼ 11 kpc) when using distances that take a global zero-point offset in the parallax of −29 µas. However, if the amplitude of this offset is underestimated, then the inferred tilt angles in the outer Galaxy only appear shallower and are intrinsically more consistent with spherical alignment for an offset as large as −54 µas. We further find that the tilt angles do not seem to strongly vary with Galactic azimuth and that different stellar populations depict similar tilt angles. Therefore we introduce a simple analytic function that describes the trends found over the full radial range. Since the systematic parallax errors in Gaia DR2 depend on celestial position, magnitude, and colour in complex ways, it is not possible to fully correct for them. Therefore it will be particularly important for dynamical modelling of the Milky Way to thoroughly characterise the systematics in astrometry in future Gaia data releases.