Vicky Thompson, 21, was being held at HMP Leeds in Armley, where she was pronounced dead on Friday.
Friends of Ms Thompson, from Keighley, who was born male but had identified as female since her mid-teens, said she had asked to be sent to a female prison.
The Prison Service said the independent Prisons and Probation Ombudsman would be carrying out an investigation.
According to the BBC, Ms Thompson was handed a suspended 12-month jail term in August. She is reported to have breached the terms of the sentence and was remanded in custody at Bradford Crown Court.
A Prison Service spokesman said last night that Ms Thompson was found unresponsive on Friday, despite staff and paramedics attempting resuscitation.
He said: “As with all deaths in custody there will be an investigation by the independent Prisons and Probation Ombudsman”.