Emma Baum, 25, was last seen Oct. 10 near 25th Avenue and Connecticut Street in Gary.
She was nine months pregnant at the time; family believes she might have given birth since she's been missing.
Her mother, Jamie Baum, said Emma was dropped off at her boyfriend's home before she disappeared.
Emma Baum has three other children, her family said.
Her disappearance follows that of 13-year-old Ja'Niyah McMichael, who went missing on Aug. 11 within blocks of Baum’s last known location. Police say McMichael may also have been pregnant.
Police have not indicated whether the two cases are connected.