All perfect praise be to Allah, The Lord of the Worlds. I testify that there is none worthy of worship except Allah, and that Muhammad is His slave and Messenger.
It is not compulsory for a woman to cover her head when she is listening to the Athaan. However, some righteous predecessors used to become humble and shed tears while listening to the Athaan. When they were asked about it, they replied: “When I hear the Athaan, I remember when people will be standing in front of Allah (on The Day Judgment).”
Allah knows best.