"I ask all agencies involved to speed up investigations so that the killers are brought to book as quickly as possible," he said.
Mr Obado, his personal assistant Michael Oyamo and Nation journalist Barrack Oduor were questioned at the Nyanza Directorate of Criminal Investigations on Tuesday.
After about eight hours of grilling, the governor was whisked away to an unknown location in a police car.
Ms Otieno’s mother Melida Auma told the Nation that her daughter was in a relationship with Mr Obado, claims the governor confirmed.
On Thursday, a statement was posted on Mr Obado’s wife’s Facebook page saying she had accompanied “my beloved husband” to a press conference and wished Sharon’s soul a good rest “in paradise”.
It was however pulled down soon afterwards. Mr Obado, who said he has been devastated, ridiculed and embarrassed by the demise of Ms Otieno, accused some unnamed politicians of linking him to the murder, and the media of giving him “medieval punishment”.
He asked politicians and the public to stop speculation. He said he had cooperated with the investigating authorities and was ready and willing to do so again.
Detectives from the Directorate of Criminal Investigations’ Homicide Investigations Unit, Serious Crimes Unit, Special Crimes Prevention Unit and the Cybercrime Investigations Unit have been trying to piece together the murder jigsaw puzzle by taking statements from witnesses