Can a woman pray naafil when the iqaamah for prayer has been given?

Muslim (710)
narrated from Abu Hurayrah that the Prophet |(blessings and peace of Allah
be upon him) said: “When the iqaamah for prayer is given, there is no prayer
except the prescribed prayer.” This applies to the one to whom the command
to pray in congregation is addressed or to the one who is present in the
mosque when the iqaamah for prayer has been given. With regard to the woman
who is in her house or a man who is excused for not attending prayers in
congregation, they are not addressed in this hadeeth, so they may offer the
naafil prayer even when they can hear the iqaamah from the mosques. 

The same
applies to a man if he wants to pray in a mosque other than the one in which
the iqaamah has been given; he may offer the naafil prayer in his house. 

It says in
Kashshaaf al-Qinaa‘ (1/460): If the iqaamah has been given, i.e., the
muezzin has started to give the iqaamah for the prayer the he wants to offer
behind the imam (then he should not do any naafil prayer), otherwise he may
do so, such as if the iqaamah is given in a mosque in which he does not
intend to pray. This was stated in al-Furoo‘. To sum up, there should
be no prayer except the prescribed prayer (after the iqaamah has been
given), so he should not start any naafil prayer or any regular Sunnah
prayer, before Fajr or otherwise, in the mosque or elsewhere, or even in his
house, because the Prophet (blessings and peace of Allah be upon him) said:
“When the iqaamah for prayer is given, there is no prayer except the
prescribed prayer.” End quote. 

For more
information see the answer to question no.
33582

And Allah knows best.