Do you know the hadith? I've never heard of this before.
I'd have to do some digging - been mentioned here before. Thinking about it, it's probably from Ibn Ishaq.
Found it! From Bukhari:
Volume 5, Book 59, Number 524:
The Prophet stayed for three rights between Khaibar and Medina and was married to Safiya. I invited the Muslim to his marriage banquet and there was neither meat nor bread in that banquet but the Prophet ordered Bilal to spread the leather mats on which dates, dried yogurt and butter were put. The Muslims said amongst themselves, "Will she (i.e. Safiya) be one of the mothers of the believers, (i.e. one of the wives of the Prophet) or just (a lady captive) of what his right-hand possesses" Some of them said, "If the Prophet makes her observe the veil, then she will be one of the mothers of the believers (i.e. one of the Prophet's wives), and if he does not make her observe the veil, then she will be his lady slave."
So when he departed, he made a place for her behind him (on his and made her observe the veil.
(I think there may be other hadiths about this which more exactly correspond with how I remembered it).