The Night's Queen

There were no female White Walkers ever seen in Game of Thrones but, based on a story from the books, there could have been a Night's Queen

The Night King and his army of the dead may have become Game of Thrones' major villains, but the show cut the only known female White Walker from the books. Revealed on screen in Game of Thrones season 1, episode 1's ice-cold open, before any major characters had even appeared, the White Walkers gradually became a bigger part of the story.

 That will be true in the books as well - right from George R.R. Martin's original outline for A Song of Ice and Fire, the Others (his preferred name for them) were the looming threat that
would fully emerge towards the end

Still the TV adaptation of Martin's novels did make some big changes to the Others, not least with Game of Thrones inventing the Night King.
 The mysterious leader of the White Walkers was once a human, turned into the icy creature by the Children of the Forest, though little else of his origin was revealed. But while he may have been the Night King, he never had a Night Queen, and indeed all the other White Walkers were male as well. That makes some sense in the context of the show, but there was a female White
Walker from the books it could have included in some way

The Night King does not exist in Martin's A Song of Ice and Fire books, but there is a legendary figure called the Night's King. The name may be a subtle distinction, but the two characters are very different
 the Night's King was actually the 13th Lord Commander of the Night's Watch. According to legend, he found a woman with bright blue eyes and freezing cold skin in the Haunted Forest beyond the Wall, fell in love, and took her back with him

He crowned himself the Night's King and her his Queen - referred to as corpse queen or the Night's Queen - with them ruling over the castle the Nightfort (which is ruins in Game of Thrones' timeline) together.

The Night's King and Queen ruled together for 13 years, committing terrible crimes in that time. That's said to have included human sacrifice, with the pair supposedly killing brothers of the Night's Watch and using them to make offerings to the Others



 The duo was eventually stopped after Brandon Stark, then King of Winter, teamed up with the first ever King-Beyond-the Wall, Joramun, to defeat them. Again, this is all rooted in legend told
among the Free Folk and the people of the North, but then so too are the White Walkers
themselves largely consigned to the stuff of myths by the time of Game of Thrones.

The Night's King and Queen legend would have been interesting for Game of Thrones to include and offered a little more to the backstory of the White Walkers as a whole. However, because Game of Thrones introduced the Night King as the leader of the White Walkers, then it likely would've been too confusing to mention a legend of such a similarly-named character. Beyond that, then the reason there are no female White Walkers in Game of Thrones may lie with their creation

This seemingly stems from the babies Craster gives to the White Walkers: notably, these are only ever sons, never his daughters, meaning no female White Walkers are created

That doesn't mean female White Walkers never existed 

the existence of the Night's Queen legend gives credence to the idea that there were some during the first Long Night. Similarly, it's possible Martin's books will delve more into the lore surrounding the Others, and that could well mean female White Walkers.

 It wouldn't have changed the trajectory of the story, but Game of Thrones could have adapted the Night's Queen into a new character who worked with the White Walkers. This could have changed the Night King, giving him greater characterization and some personality, as well as allowing for a more unique design opportunity as well, but again it's easy to see why it wasn't included