The female passenger was wearing nothing but a pair of leather boots and travelled several stops before getting off.
Vienna U-Bahn staff are now studying CCTV footage to determine the identity of the naked lady.
Witnesses said she didn't seem fazed by her lack of clothing, despite the fact that many parts of Austria are experiencing snowfall and temperatures are close to freezing.
One passenger who saw the woman at Kardinal-Nagl-Platz station told the Austrian Times: "I couldn't believe it when she stepped on the train.
"When some people grabbed their mobile telephones and started taking pictures she didn't object - in fact she even seemed to be posing for the camera."
Wiener Linien, Vienna's public transit operators, added: "We know that everyone has a different perception of temperature. We do not believe that it so warm in our subways that you have to undress."
A local newspaper has offered the mystery woman a photoshoot in a bid to discover the story behind the stunt.
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