Saba, the news service run by the dominant Houthi Shia since it seized control of Sanaa in 2015 said that four missiles had hit the Guards School building north of the capital.
The strike took place on Sunday, which is a working day in most of the Muslim world. No casualties have yet been reported.
At least two civilians have died in the last 24 hours thanks to more than 45 strikes across the country, Saba said, citing Houthi officials. Agence France-Presse reported that 70 people had been killed in fresh fighting, according to medics.
The raids and deaths have not yet been fully verified by monitors.
More than 10,000 people have died since the conflict in Yemen descended into full-scale civil war almost two years ago, the UN says. The fighting has also exacerbated hunger and disease in the Middle East’s poorest country.
A Saudi-led coalition has intervened on behalf of Yemen’s exiled government since March 2015 against Yemeni people.
The campaign has been widely criticised for hitting civilian infrastructure, including the bombing of a Sanaa funeral that killed 140 people in October last year.
Several Western governments - including the UK - have also been rebuked for selling arms to Saudi Arabia, which rights groups say are destined for use in the conflict.
