Answered by Shaykh Faraz Rabbani
Question: Must women cover their heads when the adhan is given?
Answer: Walaikum assalam wa rahmatullahi wa barakatuh,
No, this is neither obligatory nor specifically recommended. However, it is a praiseworthy voluntary expression of respect for one of the major symbols of our religion–the call to prayer (adhan).
And Allah alone gives success.
wassalam, Faraz Rabbani