Not in a quick and simple way at least. The problem is that the henchmen units are using a HenchmenMale model (which is a male model, obviously) so that they can attached the special henchmen traits to it (like they attach golem/jugg traits to golem/jugg models). In order to get a female Henchwoman in the game, you basically have to duplicate the henchmens, along with adding another female model and all, then go through all the items and traits that they should use (and it's different due to male/female clothes) and add in the new female model for those. If you just pop in a female model on henchmen units, they won't have the special henchmen traits attached (and if you attach the traits to the basic model, then all units can use them). It's doable, but that doesn't mean it's not a lot of work... and when they can't even get all the stuff for male henchmens working correctly, well...