Adding to the sense of events spiralling out of control, she also said a friend in the police force had received an emergency mobilisation order and was on their way to the station.
In the immediate aftermath of Yoon's announcement, the country's military declared the suspension of all parliamentary activity.
Footage showed a heavy police presence outside the National Assembly in the Yeongdeungpo District in the South Korean capital, and scuffles breaking out between police and protesters.
Why has South Korea's president suddenly declared martial law?
On Tuesday night, the leader of South Korea's main opposition The People's Power Party, Han Dong-hoon, called on lawmakers and the public to gather outside the National Assembly building - the main parliament - in Seoul.
Protesters chanted "no to martial law" and "strike down dictatorship" as the sounds of sirens from dozens of assembled police patrol cars and riot police buses occasionally rang out.
Clashes between police and protesters were reported in the early hours of Wednesday.
But some people were left mystified by the move.
“The streets look normal, people here are certainly bewildered,” John Nilsson-Wright, an associate professor at the University of Cambridge, told the World Service from Seoul.
“It looked like this was simply politics of a normal sort.”