The trio were abducted in Sanaa on Dec. 21 by tribesmen with grievances over land seized from them in the capital and were initially held in Khawlan, a mountainous area 80 km (50 miles) southeast of Sanaa.
Yesterday, security officials said the kidnappers "are tribesmen linked to Al-Qaeda" who have taken the hostages to Marib province.
The kidnappers have also widened their demands, calling for authorities to "free Al-Qaeda leaders jailed in Sanaa and a ransom to release their hostages," one tribal source said.
On Wednesday, Interior Minister Abdelqader Qahtan received envoy Jarno Syrjala from Finland, which has no diplomatic representation in Yemen.
The minister assured Syrjala that "efforts are ongoing to free the hostages without endangering their lives," according to state news agency Saba.
The Austrian man and a Finnish man and woman were abducted as they prepared to travel to the southern port of Aden via second city Taez.
The two men were learning Arabic in Sanaa, and the woman had recently arrived on a visit.
Most kidnappings of foreigners are carried out by members of the country’s powerful tribes who use them as bargaining chips in disputes with the central government.
Hundreds of people have been abducted in Yemen over the past 15 years. Almost all have been freed unharmed.
Al-Qaeda has a major presence in the south and east of Yemen but rarely carries out kidnappings. A Saudi diplomat, Abdallah Al-Khalidi, remains in the hands of the jihadist network since his abduction in Aden on March 28.