Stephanie Moreland, 46, was arrested after an employee at Alaskan Fur Company in Bloomington, Minnesota reported that she'd stolen the £4,000 mink.
Police officers who searched her car found the coat's hanger - but no fur coat - and arrested her on suspicion of theft, reports the New York Daily News.
Detectives grilled her for three days, searched her and put her through a metal detector, but she insisted she had already sold the coat, police said.
After investigators threatened to throw her in jail, Moreland finally hiked up her dress and pulled the mink coat from her underwear, Minnesota's WCCO television reported.
"She had modified her underwear," Bloomington Police Commander Mark Stehlik said.
"She actually cut the rear of the underwear out so that from the back it appeared she was not wearing underwear and then stuffed it down the front."
Moreland has pleaded guilty to theft. She's due to be sentenced in August.