Cry of the Werewolf

Cry of the Werewolf, also known as Daughter of the Werewolf, is a 1944 film starring Nina Foch, based on a story by Griffin Jay and directed by Henry Levin.

This is often cited as the first film to have a female werewolf in it, but an early short silent called The Werewolf which is indeed the first werewolf film ever made used that plot device first, in 1913. The 1913 film is now lost.

Source: Wikipedia