Well according to a statement of Mujahid (in Tafsser ibn Kathir) her Husband al-'Azeez was a Muslim. Her name in Arabic is sometimes quoted as Zolaykha (Suleika?) زليخا or Ra'yl bint Ra'ail راعيل بنت رعائيل (according to ibn Ishaq) and al-Azeez's name in Arabic was Itfyr ibn Rohaib إطفير بن روحيب or Fotifar فوطيفار or Qitfir قطفير according to different narrations. It was also narrated that he was not the kind of man who had intercourse or relationships with woman!
And the one from Egypt who bought him said to his wife, "Make his
residence comfortable. Perhaps he will benefit us, or we will adopt
him as a son." And thus, We established Joseph in the land that We
might teach him the interpretation of events. And Allah is predominant
over His affair, but most of the people do not know.
[Surat Yusuf (12:21)]
Imam at-Tabari in his tafseer of the above Verse could quote a narration chain until Mujahid according which al-'Azeez was a muslim... "Mujahid narrated the one who bought him was the king, and the king is/was muslim."
حدثني محمد بن عمرو ، قال : حدثنا أبو عاصم ، قال : حدثنا عيسى ، عن ابن أبي نجيح ، عن مجاهد اشتراه الملك ، والملك مسلم.
One can only assume that a faithful man would marry a faithful woman and deduce she was also a Muslim. Therefore to me it's unclear and there are some israiliyat about what happened later on which seem to underline she was (or became Muslim) as according to this "stories" she became Yusuf's wife!
And Allah knows best!