Praise be to Allah.
We put this question to Shaykh Muhammad ibn Saalih al-‘Uthaymeen, may Allaah preserve him, who answered as follows:
“Praise be to Allaah, Lord of the Worlds, and peace and blessings of Allaah be upon our Prophet Muhammad and all his family and companions. I think that she should go with him, because this will keep him safer from temptation. There will be no sin on her so long as she adheres to her duties of covering and behaving modestly. But if he goes alone there is the fear that he may fall into temptation, and if she stays alone without a husband she will not be happy… And Allaah knows best.”