Police in the town of Villajoyosa confirmed they had arrested four suspects in connection with the death, including the woman's husband, but declined to give further details.
The radio and daily newspaper El Mundo cited police sources as saying the woman and those taken into custody were members of a cult.
"They were practising a particular ritual of their group which produced serious injuries, presumably caused by a knife, and burns on many parts of her body," El Mundo quoted the police sources as saying.
It said the woman, a mother of two in her 30s, had gone into a coma and later died in hospital. Her husband was reported to be a Spaniard but there was no information on the nationalities of the other suspects.