"We got the information yesterday that Judith Winslow, a US national from Washington, had died. There is no doubt about it being a natural death, but her stay at the school was illegal as we had not been informed about it," district superintendent of police Kumar Saurabh told PTI.
"It is mandatory for foreigners or their hosts to inform local police about their stay," he said.
"We are investigating why police were not informed about her stay and since when she was here," Saurabh said.
Police said they are probing the matter with regards to the purpose of Winslow's visit to Alirajpur and other details, while local residents claimed that the US national had been visiting the city for over last four decades now and was popular among them.
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Civil Surgeon Dr Prakash Dhoke said he was called to Don Bosco school at 5 AM yesterday and when he reached there, the woman was dead.
The state government has sought a police report on the issue, official sources said.