A lawyer for Kim Myers, who was close to Steenkamp, said Pistorius approached Myers in the Pretoria courtroom and said to her "how can you sleep at night?"
Lawyer Ian Levitt told The Associated Press that Myers said Pistorius made the remark in a "very sinister way."
Steenkamp, whom Pistorius shot and killed last year, lived with the Myers family and they say they were her second family.
He told the AP that Myers was "shocked" and did not know what the remark referred to.
Also Read
"It's important to confirm this. It was in front of witnesses. Journalists have witnessed this," Levitt said. A reporter also alleges that he overheard the double-amputee Olympian making the comment to Myers.
Members of the Myers family have been present for much of Pistorius' murder trial, sitting on a wooden bench reserved for friends and family just feet away from Pistorius.
"I've asked the client and he denies that he said it," Webber told The AP.
Pistorius is charged with premeditated murder for shooting Steenkamp through a toilet cubicle door on February 14, 2013. He pleaded not guilty and says he shot his girlfriend by mistake after thinking she was an intruder in his home. Prosecutors say they fought before the famed athlete killed her intentionally.