Her arrest was confirmed earlier by Turkish President Recep Tayyip Erdogan's communications director, Fahrettin Altun.
"The arrest of al-Baghdadi's sister is yet another example of the success of our counterterrorism operations," Altun tweeted on Tuesday, without providing details.
"This kind of thing is an intelligence gold mine," the Turkish official said. "What she knows about ISIS can significantly expand our understanding of the group and help us catch more bad guys."
The Turkish military and its allied Syrian rebel groups took control of Azaz following Operation Euphrates Shield in 2016, Turkey's first incursion into northern Syria.
Azaz lies 14 kilometres from the Turkish border.
"What we learn will help Turkey to better protect itself and the rest of Europe from terrorists," the official added.
Al-Baghdadi - proclaimed the caliph, or leader, of Islamic State in 2014 - was killed during a US raid last month in the north-western Syrian province of Idlib.
Islamic State confirmed his death last week and asked followers to pledge allegiance to his successor, Abu Ibrahim al-Hashemi al-Qurashi.
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