Inspired by another character thread, here are the female characters present in Classic Hero Quest ('89-'92), (I have not read the novels so I can't speak for them). If I am missing any, please feel free to add to this list (published quests?) !
Return of the Witch Lord: [1989]
Kessandria, the Witch Queen
Japanese Game System: [1991]
Princess Miku
It's also worth pointing out that although Hero Quest's world is only "loosely" based upon the Warhammer world, in that latter world's lore, the Fimir who use magic tend to be female, and since there are magic-using Fimirs (for example in Kellar's Keep) these might be female (despite being called "it" in the quest notes).
Mage of the Mirror (EQP): [1992]
female Elf (Hero)
Sinestra (elven archmage)
Princess Millandriell (uses tile)
Queen Terrellia's Attendants (unclear what is used to represent them)
The Frozen Horror (BQP): [1992]
female Barbarian (Hero)
Published Quests: [Dates ??]
Rescue of the Princess:
Gwendoline, the Princess
Inn of Chaos:
Inn Keeper's Wife and daughter (undead)
The Slave City:
city wives
Hero Quest II: Legacy of Sorasill (PC Game) [1994]
Celeste (Mystic Hero)
Calorflame (Cleric Hero)