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The Lords Commissioner for Standards has confirmed receiving a letter from Baroness Warsi, in which she asked him to investigate her expenses.
A spokesman for Paul Kernaghan said:
It is understood that the third party mentioned is Labour MP John Mann, who said he would write to the Commissioner.
Asked whether he feels that Baroness Warsi should resign, chancellor George Osborne told ITV News:
"Baroness Warsi has written to the relevant person at the House of Lords and I think we can leave it at that."
He declined to answer further questions on the subject.
Baroness Warsi insists she takes the allegations over her expenses very seriously.
Arriving in the Malaysian capital Kuala Lumpur, she told ITV News that she would fully co-operate with any investigation.
However the Conservative Party co-chairman refused to say whether she would resign over the row.
Liberal Democrat backbencher Bob Russell has increased the pressure on Conservative Party co-chairman Baroness Warsi.
He thinks her expenses claim should not just be the subject of a parliamentary probe, but also a criminal investigation.
Tory MP Louise Mensch has come to the aid of Baroness Warsi, in a row over parliamentary expenses.
She told ITV's Daybreak that the co-chairman of the Conservative Party had done nothing wrong, by claiming for accommodation while staying at a friend's house.
Latest ITV News reports
Baroness Warsi has asked the Lords Commissioner for Standards to investigate allegations she made improper expense claims.
Baroness Warsi has written to The Lords Commissioner for Standards asking him to investigate her expenses.