You can for sure do an all female party, Mazzy, Nalia, Jaheira, Viconia, Aerie are all available - it'll be somewhat challenging though. You'd need to micromanage reputation to keep it neutral so neither Viconia nor the good characters leave (unless you modded that out), you also probably need to boost thief skills with potions and/or items regularly. Viconia also has some downsides to keep in mind, like the low Con, single classed Clerics being pretty mediocre and not getting Holy Smite due to alignment. She does have base 50% spell resistance though so there's that, and can get to 100% with the right gear. There is also Neera and Hexxat, but I don't enjoy the EE companions much.

I will say for a first playthrough I tend to recommend people bring Yoshimo, as he has some ties into the main quest and also various sidequests around Athkatla. Not a female though.