Abdullah al-Khalidi, Saudi Arabia’s consul in Aden, was seized in March 2012.
Ali Abdullah Saleh’s rule from 1978 to 2012 was marred by graft, UN appointed investigators have told the Security Council.
No further details were immediately available on the identity of the woman or what she was doing in Yemen.
Last month, Houthi fighters, who had captured the capital in September, seized the presidential palace, driving the President to resign.
Yemen has been in political limbo since the president and prime minister resigned last month after the Houthis seized the presidential palace.
Marib has most of Yemen’s oil and gas fields and has long been a battleground between various factions.
President Abd-Rabbu Mansour Hadi resigned on Thursday after Houthi fighters crushed his presidential guards and deployed outside his home.
Al-Houthi, in his early 30s, rarely appears in public or gives press interviews, but has positioned himself as a revolutionary national leader.
Houthi leader Abdel-Malek al-Houthi warned President Abd-Rabbu Mansour Hadi that he had to implement a power-sharing deal.
Widely seen as a failed state, Yemen remains one of the gravest threats to stability in the Gulf and beyond.
Houthi fighters, friendly with Iran, took over the capital Sanaa in September.
The attack occurred just hours after a showdown between the Houthis and President Abd-Rabbu Mansour led to the resignation of PM Ahmed Awad bin Mubarak.
Sanaa’s two million residents have been forced to light their homes with candles or private generators, fuel for which is increasingly expensive.