Musnad Ahmad 25:97

Sufyan narrated to us, from ‘Amr, from Abu Ma‘bad, from Ibn ‘Abbas, that the Messenger of Allah (peace and blessings of Allah be upon him) said: "A man must not be alone with a woman, and a woman must not travel except with a Mahram (a male relative whom she cannot marry) accompanying her." A man came and said: "My wife has set out for Hajj, and I have been registered for such-and-such a military expedition." He (the Prophet) said: "Go and perform Hajj with your wife."