The unidentified gunmen intercepted the vehicle on 45th Street in central Sanaa and led the women and the driver to an unknown location, the sources said. Her identity or where she worked was not immediately clear.
Police are searching for the abductees.
The French foreign ministry could not immediately comment.
Kidnappings are common in Yemen, a country of 25 million where disgruntled tribesmen had frequently seized foreigners to push the government to provide them with services or to free jailed relatives.
The country is also home to one of the most active branches of al Qaeda which had also targeted foreigners.
Yemen is in turmoil since Shi’ite Muslim militias seized control of the capital in September.