Clipping is done on TPad edges. The axis are drawn on a TFrame edges.
Here is the way to to it:
void EllipseClip()
{
TCanvas* c1 = new TCanvas("c1","c1",50,50,400,400);
TH2F* h2 = new TH2F("h2","h2",10,0,10,10,0,10);
c1->Range(0,0,10,10);
h2->Draw();
// Define a transparent pad to clip the ellipse
TPad* clippad = new TPad("clippad","clippad",0.1,0.1,0.9,0.9);
clippad->SetFillStyle(4000);
clippad->SetBorderSize(0);
clippad->SetFrameFillColor(0);
clippad->SetFrameBorderMode(0);
clippad->Range(1,1,9,9);
clippad->Draw();
clippad->cd();
TEllipse* AnEllipse = new TEllipse(2.5,2.5,8,1,0,360,135);
AnEllipse->SetFillColor(kBlue);
AnEllipse->Draw();
}