The probe was launched after Sharmilla Ullah, aged 30, was taken to Bloxwich Police Station, in Station Road, where she was detained on July 9 by police on suspicion of shoplifting.
She became unwell and was taken to Walsall Manor Hospital where she received treatment before being released back into police custody in the early hours of July 10.
At around 11.45am she became unwell again and was taken back to hospital but was declared dead shortly after arrival.
Toxicology tests have also be carried out in a bid to ascertain the cause of Miss Ullah's death.
The Independent Police Complaints Commission (IPCC) is now carrying out a probe into what contact took place between the dead woman and West Midlands Police.
IPCC spokesman David Carnell said: "IPCC investigators were deployed on Thursday afternoon to the West Midlands to deal with the death of a 30-year-old woman while in custody at Bloxwich Police Station.
"Our work is ongoing, particularly in analysing CCTV footage from the custody suite. A post mortem has been conducted and the results of toxicology tests are awaited.
"We have spoken with the woman's family to explain our role. At this stage we are unable to disclose any further information."
West Midlands Police said the matter was referred to the IPCC as a matter of routine and the commission has sent investigators to examine the circumstances surrounding the woman's death.
Miss Ullah's sister, Sabina Khadija, claims she was told by officers Sharmilla had died in her cell.
She told the Express & Star the family urgently wants to know what happened to the mother of four.
She added: "My mum and my sisters and I are all devastated that Sharmilla has died and we just want to know what happened between her being arrested and her dying.
"Sharmilla was the youngest sister of seven and she was always full of life.
"She was always the life and soul of any party."