Authorities received a tip that Lewthwaite, 29, is in the remote area of Baidoa, the Sunday Mirror reported.
Police said she could be on her way to Yemen, where she has spent time training with al-Qaida leaders.
Lewthwaite is also accused of killing four religious leaders -- Protestant pastors Charles Matole and Ebrahim Kidata and radical Muslim clerics Aboud Rogo Mohammed and his successor, Sheik Ibrahim Rogo.
She also allegedly killed three others who had links to the terror group al-Shabaab.
Lewthwaite, who was born in Britain, is the widow of 7/7 Kings Cross bomber Germaine LIndsay.