Formal:
* Une femme mystérieuse: This is the most literal translation and the most common way to say it.
* Une femme énigmatique: This emphasizes the puzzling nature of the woman.
Informal:
* Une femme qui cache des secrets: This translates to "a woman who hides secrets."
* Une femme qui fascine: This means "a woman who fascinates" and implies that her mysteriousness is alluring.
Figurative:
* Une femme qui intrigue: This means "a woman who intrigues" and suggests that her mystery is intriguing.
* Une femme comme un roman: This literally means "a woman like a novel," implying a complex and fascinating story.
Ultimately, the best way to say "a woman of mystery" in French depends on the context and the specific impression you want to create.