There is 'Antigone' by Sophocles. Antigone's actions lead to her being condemned to death, and it shows the struggle of a female character against unjust laws. It's a very classic and profound piece of literature that involves female characters in a situation related to execution in a way.
One famous female execution - related fiction story could be 'The Scarlet Letter' by Nathaniel Hawthorne. In it, Hester Prynne is publicly shamed which has elements related to a form of social 'execution'. Another might be 'A Tale of Two Cities' by Charles Dickens, where the character Madame Defarge is a complex figure in a context of revolutionary justice that involves executions.
In 'The Handmaid's Tale' by Margaret Atwood, although not direct execution in the traditional sense all the time, the female handmaids are in a society where they face extreme punishments and a constant threat of death for disobedience, which can be seen as a form of the idea of female execution within a fictional and very disturbing social construct.