Considering we are getting more characters, I'd say Shantae has become a front runner for being the "First female DLC character." We can say "Spirits debunk characters" as much as we want to, but it does seem like a possiblity that Sakurai can easily throw that right out the window at anytime. Hell, with the new Shantae gaming coming up, that could be the best time if any to have her brought in at that same time.
Otherwise, any female character would be nice and I doubt anyone would raise any hell over whoever the first one would be. Not to mention that for some, they still think Overwatch isn't exactly off the table yet.