(Auntie) Griselda - Monkees
Jennifer (Juniper) - Donovan
(Oh!) Susanna - traditional
I see that “Dinah” has been mentioned, but Boz Scaggs has a tune titled and dedicated to “Dinah Flo”.
Kathleen - Randy Newman
Beth - Kiss
Christine - Siouxsie and the Banshees
It sucks to have a song about your name, and it’s totally unflattering. It’s like, “Yay, a song about me - oh, it’s about someone with multiple personality disorder. Shucks.” My mom had the same experience with “Veronica.”
Trying to think of some really weird ones:
Cymbaline (from the Pink Floyd song of the same name) – although it’s not clear that this is a woman. The Shakespeare play “Cymbeline” is about a king.
Boney Maronie (Ritchie Valens) (“I got a gal named Boney Maronie…”)
Be-Bop-a-Lula (Gene Vincent)
Little White Dove (from “Running Bear”, by Johnny Preston)
Flat Foot Floogie (probably doesn’t qualify, because not a name exactly)
Arabella (“Little Arabella” by the Nice)
Minnie (the Moocher) – Cab Calloway
Mama Cass (from “Creeque Alley” by the Mamas & the Papas)
Alberta (Doc Watson)
Saffron, Fourteen (“Mellow Yellow” by Donovan)
I bet there’s a lot of strange women’s names in Gibert & Sullivan…
A few more (missed edit window):
Mattie, Hattie (“Woolly Bully” by Sam the Sham)
Clarabella (on “Beatles at the BBC”; don’t know who did it originally)
(Lawdy Miss) Clawdy
(Little Latin) Lupe Lu
Oh, and how about (Sweet) Leilani?
OK, I’ll go now…
Ruby by Kaiser Chiefs
Dorina by Dada
Some more:
Elise - The Cure (A Letter to Elise)
Lola - Barry Manilow (Copacabana)
Carol - Run DMC (It’s Tricky)
Kelly - Woody’s song for his girlfriend on Cheers: http://www.youtube.com/watch?v=8hJjx7jTHA8
In that case, I’m going to say “Smelly Cat” was a female (is it?)! 
Marie Leveau - Bobby Bare (I searched but didn’t see it).
OK, a couple more:
Sloopy (McCoys)
Diggy Liggy Lo (Doug Kershaw)
(A Girl Named) Johnny Cash (by Martin Mull; sung by Jane Morgan)
Lalena (Donovan)
Two by Bowie:
Letter to Hermoine
Janine
Just thought of three more:
Help Me Rhonda - The Beach Boys
Copacabana (Lola) - Barry Manilow
Barbara Allen - British Isles folk standard
Lucretia-Megadeth
Carry Me Carrie- Dr. Hook
Maria-Willie Nelson
Bernadette-Paul Simon
Cecelia-Simon and Garfunkel
Amphetamine-Everclear (her name was Amy but “they used to call her Amphetamine”)
Corrina Corrina -Steppenwolf
Jolene–Bob Dylan
Jackie O-John Mellencamp
Laura (I have a Spike Jones recording of this song, but I don’t know if it’s his song)
Al and Yetta-Alan Sherman
Melanei-Weird Al Yankovic
Airline Amy-Weird Al Yankovic
Medusa -Anthrax (does she count as a woman? Half a woman?)
Charlotte the Harlot-Iron Maiden
Big Leg Emma-Frank Zappa/Mothers
Jack Straw-Grateful Dead–is the ‘Shannon’ referred to in that song a woman? Also, someone else mentiioned ‘Bertha’ by the dead, although that song is supposedly not really about a woman–I read an article somewhere in which it was mentioned that Bertha was the name they had given to an enormous fan in their office)
Lily, rosemary and the Jack of Hearts-Bob Dylan
Isis-Bob Dylan
Vera-Pink Floyd
Marie Leveau-Dr. Hook
Dion name-checks Zsa Zsa Gabor in “Donna (The Prima Donna)”.
Dylan name-checks Alicia Keys in “Thunder on the Mountain”.
Lambert, Hendricks & Ross name-check Lana Turner, Rita Hayworth, Brigitte Bardot, and Lucille Ball in “Gimme That Wine”.
Peg - Steely Dan
The Who-‘Sally Simpson’ is playing in my office right now.
Queensryche-‘Suite Sister Mary’ is another one I forgot.
“Calling Sarah” Jellyfish