Vitaly Negodon, believed to be an authority figure among the group that expects the world to end in May, told TV channel Russia Today on Tuesday: "During our stay, two people died. They are buried there. One died of cancer... And the other was fasting, she was a Belarusian citizen."
His report has not been officially confirmed.
"There is one detail that greatly worries us. The authorities are hiding this, and are forbidding us to say that during our stay two people died," he said.
Authorities in the Penza Region will have to verify Negodon's report, an administration spokesman told RIA Novosti.
Anton Sharonov said: "We have taken this information on board. To confirm such a thing, the fact of death must be legally established, and this can only be done when the hermits leave their cave."
Thirty-five members of the sect went underground in the Penza Region in November to await the end of the world, which they say will come in May.
However, 24 sect members, including the group's four children, emerged from their hideaway in late March and early April after most of the dugout's roof collapsed due to thaw waters and heavy rain.
The sect's leader, Pyotr Kuznetsov, 43, was admitted to hospital last Wednesday after an apparent suicide attempt.
He had been held in an asylum in Penza about 600 km (370 miles) southeast of Moscow, since November.
