There are genuine, growing fears that she has fallen out of favour with the leader of the communist state and/or his family.
But it could be that she is in hiding - pregnant and due to give birth to Kim Jong-un's heir if she has a baby boy.
Experts monitoring the situation in Pyongyang have suggested that the First Lady, Ri Sol-ju, might have had a row with Jong-un’s younger sister, Kim Yo-jong.
Yo-jong has been widely regarded as the growing power behind the throne in recent months.
She was placed in charge of North Korea's Propaganda and Agitation Department last year - meaning she is responsible for how people view his cult of personality.
A professor at Tokyo’s Waseda University, Toshimitsu Shigemura, who focuses on the Pyongyang leadership, told The Telegraph that Ri’s disappearance could be for several reasons "including that she is pregnant or that there is some sort of problem between the two of them".
But Kim Jong-un also has form for getting rid of those close to him if they fall out of favour.
He executed his uncle Jang Sung-taek - after finding him guilty of treason - despite having been close.
He denounced him as “human scum worse than a dog” for his attempted reforms.