The woman Arti and her children Sachin (5) and Chhama (3) were last night asleep when they caught fire "under mysterious circumstances" and died, Circle Officer Vijay Anand said.
Arti's brother Jitendra has lodged an FIR alleging her husband and in-laws for killing them for dowry.
The officer said that prima facie appeared that they were set afire by someone.
"We have detained victim's husband and brother-in-law Bhim Singh," the officer said, adding that probe is underway in the matter.