The Grand Ayatollah Khamenei answered a question about Hijab for women when reciting Dua alone.
Question: Must a woman wear Hijab at the time of reciting Dua; I mean Ziarat and Dua which we send greetings (Salaam) to infallibles, like Dua Ahd or Ziarat Jamiah Kabirah?
The Grand Ayatollah Khamenei: In the above-mentioned cases with the assumption that there is no non-Mahram around, Hijab is not Wajib.
Source: khamenei.ir