Sotheby's says "Reclining Nude I" (one) is expected to sell for $3 million to $5 million on May 2.
The work was included in the artist's first major solo exhibition in Milan in 1925.
It was thought to have disappeared right after that. Sotheby's says it was contacted late last year by its West Coast owner.
The auction house says the owner had it for a decade before he realized that it might be an original work by the Polish artist.
Lempicka worked in Paris during the 1920s.
