The woman, identified in Danish media as 64-year-old Britta Nielsen, was arrested by Johannesburg police.
“We are now asking South African authorities to decide about an extradition to Denmark,” Anderskov Riis said.
Danish authorities said they had seized some of the suspect’s assets believed to stem from the scam.
A man was arrested in the case in late October as he was trying to leave South Africa. His role in the case is not yet known.