PITTSBURGH—Pittsburgh and state police say a pregnant woman and a man showed up at a hospital with gunshot wounds after their bullet-riddled sport-utility vehicle was found in another part of the city.

The investigation involves both city and state police because the vehicle was found about 3:45 a.m. Friday near the city's West End Bridge, but police believe those shots were fired while the vehicle was on Interstate 376, which is patrolled by the state police—even within the city limits.

Police aren't identifying the victims, but believe they were shot near the interstate's Oakland exit, drove a couple of miles to the West End, then were driven to the hospital, privately, by someone else in another vehicle.

Police aren't saying if they have any suspects or why they believe the couple was shot.