In an appearance on The Ed Sullivan Show, Jim Henson performed a woman named Amanda. He also performed a girl who encounted Beautiful Day Monster in Beautiful Day Monsters first skit on The Ed Sullivan Show.
In The Frog Prince, while he didn't perform any women, there was a scene where Kermit tried to sound like Taminella to trick Sweetums into letting Robin out of a cage while sleeping.
In the Twiggy episode, Jim Henson performed Kermit's dance partner, Mary Louise.
On Sesame Street, Jim Henson performed a woman named Grannie Fannie Nestlerode. He also performed Grandma Happy, who appeared in an early skit called HuntFor happiness.
I wonder why Jim Henson hardly performed any female voices. Could he have hated doing female voices? Could he have thought he wasn't very good at doing those voices?