The vehicle was parked in the 4100 block of Sayers Street. Pamela Pratt, 38, was found in the passenger seat of the white Expedition.
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Officers told ABC13 that the woman was stabbed to death and that one man was taken into custody. Police said he was in the driver's seat.
A dispatcher is heard on audio saying, "Man just called and says he just killed his fiancée. He stabbed her. He says he is on his way back to 4123 Sayers. He is a few blocks away."
Pratt's son told ABC13's Courtney Fischer that his mom knew her fiancé close to a year and that they never had any problems.
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Pratt leaves behind three children.
Follow ABC13 Reporter Courtney Fischer on Twitter and Facebook.