The victim, identified as Shafakat Khan was pregnant and had been living with her parents in Raigaron ki Kothi locality here for around three months, they said.
When her husband, Mohammad Iqbal went to bring her back today, she "refused" to go.
The refusal annoyed Iqbal, who then opened fire at his wife with a country-made pistol, Ramganj ACP, Narendra Mohan Sharma, said.
The injured woman was rushed to Sawai Man Singh government hospital where she was declared brought dead, he said, adding, the husband was held on the spot with the firearm.
The husband is pursuing higher studies in Delhi, police said.
As per initial investigation, there were some dispute between the couple, Sharma said.