The woman - identified as Anju - lived in rented accommodation in Islampur village on Sohna road near Gurgaon, police said.
Police said Anju, who hails from West Bengal, got married two years back to Deepak, a resident of Muzaffarpur in Bihar. Both of them worked in Gurgaon, and have two children who live with Anju.
"Deepak went to his hometown over a month ago and refused to return," a police officer said.
Police said Anju spoke to her husband for over an hour on Monday night. Deepak reportedly told Anju: "You are free to marry someone else, or commit suicide."
Anju had earlier filed a police complaint against Deepak, but police allegedly refused to take any action.
According to sources, Anju on Tuesday once again went to the police station with a bottle of kerosene.
She set herself on fire when a police officer allegedly taunted her, saying: "Why don't you do what your husband is suggesting."
A police officer said staff at the police station doused the fire and took the woman to the civil hospital here, and she was later referred to Delhi.