It is narrated from Sayyiduna Ibn Abbas (may Allah be pleased with them both) that the Messenger of Allah (peace and blessings be upon him) said: "No man should be alone with a woman, nor travel with her, unless she has a mahram with her." At this a man said: "O Messenger of Allah! I want to go with such-and-such an army, while my wife is going for Hajj." He ((peace and blessings be upon him)) said: "Perform Hajj with your wife."
Hadith Referenceالمعجم الكبير للطبراني / باب العين / 12150