The pair are currently working with songwriter and One Republic frontman Ryan Tedder on a new song, though he failed to confirm whose album the track would belong to.
Speaking at last night's Grammy Awards in Los Angeles, Billboard quotes Tedder as saying: "I've been cancelling a lot more expected writing sessions to do stuff that just freaks me out that I think's cool."
He added of working with the artists: "Azealia Banks scares me. Lana Del Rey scares me a little bit. Not in a bad way."
Tedder has previously written a number of international hits including Leona Lewis's 'Bleeding Love' and Beyoncé's 'Halo'.
Del Rey reached number one in the UK and number two in the US with her debut album Born To Die earlier this month.
Meanwhile, Banks has announced plans to officially release '212' as part of a new EP on March 25.
Watch the music video for Lana Del Rey's 'Born To Die' below: