Mayonnaise is technically classified as a colloid because it is a mixture which is composed of microscopic particles in a material that is essentially unmixable. The particles in colloids are significantly larger than molecules. Because the particles in these colloids are so small, they do not settle properly and tend to pass rather smoothly through filter paper.
Particles that are found in colloids can either be liquid, solid, or even gas. The medium in which the particles are suspended in can be any one of these types of matter. Mayonnaise consists of a number of things which would not normally mix together, making it both a colloid and an emulsion.