Svetlana Bakhmina has been in jail since her 2004 arrest and is serving a 7-year sentence for embezzlement. She is due to give birth next month.
Prisons spokesman Alexander Zaitsev refused Thursday to disclose Bakhmina's exact whereabouts.
Bakhmina has twice been denied parole after becoming pregnant following a prison visit by her husband. Critics say most pregnant mothers eligible for parole are freed early.
Critics say Bakhmina was hit with trumped-up charges as part of state efforts to bring down Yukos, widely seen as a punishment for former owner Mikhail Khodorkovsky's political ambitions.