What you could do is give a basis
$$ \{ e_{s} : s \in S \} $$
for your vector space and then define
$$ (v_{s} : s \in S) = \sum_{s} v_{s} e_{s}. $$
Alternatively, you could just use the sum instead of defining new notation. Lastly, you could consider $v$ as a function from $S$ to your field of scalars (presumably the real numbers). That is, $v: s \mapsto v_{s}$.
It depends on what you're trying to use this for.
Edit: The thing about rigor is that it can be a bit tough to pin down what it means exactly. A better goal would just to aim for being completely unambiguous. In this case, the structure of a vector space makes your life easier. Regardless of your choice of notation, if you can show 1) that your vector is an element of some vector space and 2) that you can unambiguously determine its components with respect to a single basis of that space, then you are good.
For instance, the set of functions $f: X \to \mathbb{R}$ forms a vector space under the addition $(f + g)(x) = f(x) + g(x)$ for any finite set $X$. So if you take $X = S$, you get my second example. Alternatively, per your suggestion in the comments, if you take $ X = \{ 1, 2, \dots n \} $ as some index set, then you can represent your vector as a function $f: X \to \mathbb{R}$ so long as you also define an injective function $g: X \to S$ to index the random variables (it must be injective so that no two distinct random variables have the same index).