Musnad Abu Ya'la al-Mawsili 110:64

Zuhayr narrated to us, Ibn ‘Uyaynah narrated to us, from ‘Amr, who heard Abu Ma‘bad, who heard Ibn ‘Abbas saying: I heard the Messenger of Allah, may Allah bless him and grant him peace, while he was saying: "A man must not be alone with a woman, and a woman must not travel except while she has a Mahram with her." A man stood up and said: "O Messenger of Allah, I have enrolled in such-and-such a military expedition, and my wife has set out for Hajj." He said: "Go and perform Hajj with your wife."