No, I did not, I slightly suspected it for a but pushed the thought aside.
When I first saw it, I think I either figured out that or was at least suspicious that Dietrich was playing both parts but that the film would never reveal for sure. I thought they would end it with us wondering if they were both the same woman but never make it clear.
Afterward, I went back and watched the scene in the station with the brunette a second time. Even knowing who it was, I still didn't recognize her. The ending was very well done.