On Saturday, police identified the bodies as those of Tala Farea, 16, and Rotana Farea, 22, sisters who had previously been living in Fairfax, Virginia.
They had also both been placed in a shelter after a disappearance in December a year ago, although it is not clear how long they spent there.
The sisters' mother also received a call from the Saudi Arabian embassy in Washington telling her about the asylum applications, according to the Times' report, which the NYPD declined to confirm.
US Police are investigating the mysterious deaths of two sisters from Saudi Arabia whose bound bodies washed up on New York City's waterfront.
In a follow-up statement, the Saudi Arabian consulate described the pair as "students accompanying their brother in Washington".
'Any/All communication with the mother had nothing to do with a supposed asylum claim, ' the official added.
Investigators are still mystified by how and why Rotana, 22, and Tala, 16, made their way to NY from their adopted Virginia home, as well as whether their demise was a weird suicide pact or something more sinister.
In August they were reported missing. A spokeswoman for the Office of the Chief Medical Examiner did not return messages Sunday seeking information. NY police Chief of Detectives Dermot Shea told The Washington Post "they were not in the water that long".
Rotana was enrolled at George Mason University, but left in the spring.
The Saudi consulate in NY said that the Consulate General is keeping close tabs on the investigation.
The lack of obvious trauma appeared to rule out a theory they jumped into the river from the George Washington Bridge.
The younger sister, Tala, had been reported missing on August 24, according to the National Center for Missing and Exploited Children.
I've heard a lot of stories (nothing super documented) of [Gulf Cooperation Council] countries basically renditioning kids this age when they applied to asylum.
In a statement released to the public on Tuesday afternoon, the Saudi Consulate General said that embassy officials had reached out to the Farea family and "extended its support and aid in this trying time".