Kathryn Blair, 25, was targeted as she walked down a central London street with her boyfriend and a group of friends.
A spokesman for the Blairs said: "Kathryn was with a group of friends. No one was hurt and nothing was stolen."
Scotland Yard confirmed an incident involving two male suspects with a gun took place in Ivor Place, Marylebone, on Monday.
The incident is being linked with another attempted robbery nearby just half an hour earlier.