A generalisation of the well-known Pell sequence $\{P_n\}_{n\ge 0}$ given by $P_0=0$, $P_1=1$ and $P_{n+2}=2P_{n+1}+P_n$ for all $n\ge 0$ is the k-generalised Pell sequence $\{P^{(k)}_n\}_{n\ge -(k-2)}$ whose first k terms are $0,\ldots ,0,1$ and each term afterwards is given by the linear recurrence $P^{(k)}_n=2P^{(k)}_{n-1}+P^{(k)}_{n-2}+\cdots +P^{(k)}_{n-k}$. For the Pell sequence, the formula $P^2_n+P^2_{n+1}=P_{2n+1}$ holds for all $n\ge 0$. In this paper, we prove that the Diophantine equation

$$ \begin{align*} (P^{(k)}_n)^2+(P^{(k)}_{n+1})^2=P^{(k)}_m \end{align*} $$

has no solution in positive integers $k, m$ and n with $n>1$ and $k\ge 3$.