Santosh Kumari (40) was shot dead when she was partying at the fourth floor of a newly inaugurated hotel here, police said.
She was taken to the Civil Hospital where she was declared brought dead, they said.
ASP Patil Ketan Baliram said investigation was on but there was no preliminary clue regarding the location from where the shot was fired.
"Though it seems a to be a bullet fired which hit the forehead of the woman, the matter is still not clear," he said.
A case in this connection has been registered at Thermal police station.
SHO Cantt, SHO Thermal and ASP-city reached the spot to enquire into the matter.
SSP R S Brar reached the spot and was monitoring the investigation himself along with DSP city Gurmeet Singh, ASP and other officers.