The WTA did not name the player but said she had pulled out and all those who may have been in close contact with her were being tested.
"A player has tested positive for COVID-19 at the 31st Palermo Ladies Open and has subsequently withdrawn from the tournament. The player is asymptomatic," the WTA said in a statement.
"Following this information, the WTA, in coordination with the Tournament Infection Control Officer and along with its medical advisors and infectious disease specialist from the Mayo Clinic, immediately put its COVID-19 response plan into action.
"Any individual who tests positive will remain in isolation until cleared by a physician per the established protocols, and will receive proper medical treatment."
US Open: Serena Williams favourite to win record-equalling Slam
Organisers had earlier said two players tested positive for COVID-19 antibodies, adding they returned negative results when they underwent a Polymerase Chain Reaction test currently being used to detect COVID-19.
Several exhibition events have taken place globally since the sport was halted in early March due to the COVID-19 pandemic but the women's tournament in the Sicilian capital will be the first across both the elite WTA and ATP tours in five months.