Not necessarily. When we say "I'm going to work", it usually means we're travelling to another place in order to do our job. If she works from home, "I'm working" is the most likely thing for her to say.
I've just had a thought. Did you mean "going to" to express the future? If so, it's grammatically correct but not very natural. The same could be expressed by "I will work" but that wouldn't be natural either.