The woman, apparently in her twenties, seemed to have died of burns and the incident was believed to have happened late last night, Assistant Commissioner of Police M Venkateswarlu said.
The ACP, however, said the incident could be a case of suicide and added that a probe into the incident was ordered.
When the issue came up in the Legislative Assembly, state Home Minister Nayani Narasimha Reddy assured that a thorough probe would be conducted.