Sharma was picked up by the Ghaziabad police after a robbery-cum-double-murder at the Central Industrial Security Force complex in the city.
Vineesh was a brother-in-law of Suresh Sharma and his wife Bubbli, who were found murdered in their CISF complex house April 24.
The police picked up Vineesh from Aligarh and recovered a motorcycle, a gold chain and a ring belonging to the couple.
Vineesh was to be presented in court on Sunday but in the wee hours when the security guard peeped inside the lockup he found Sharma hanging with a blanket from the window bar of the lockup.
He was taken to the Pushpanjali Hospital where doctors declared him dead.
"His dead body has been sent for post-mortem. The family has been informed," said superintendent of police (SP) Shiv Shankar Yadav.