According to Deke Castleman, author of Whale Hunt in the Desert, the answer is, "It depends."
There’s no single standard definition of "whale." In his book, Deke defined a whale as someone who could bet between $50,000 and $250,000 a hand and win or lose up to $20 million over the course of a gambling holiday. But he noted that some casino execs considered a whale anyone with at least a million-dollar credit line.
Whale Hunt was written in 2004 and the "economies of whale" have diminished somewhat since then. Today, anyone who’s willing to lose $250,000 on a gambling trip is considered -- and treated like -- a whale at most high-end casinos. Now, with the criteria reduced by 75%, there are almost certainly women whales in the world.
That said, whales are generally table-game players. They mostly play baccarat and craps at the highest stakes allowable. Depending on how knowledgeable they are at blackjack, they might be allowed to play for very high stakes, though because many professional bj players pretend to be whales and the best of them can get away with it, the casinos are wary about letting whales play blackjack.
In addition, the stakes at poker these days are definitely in whale territory. In the highest-level cash games, a million dollars can easily change hands over the course of a playing session. Poker isn’t, technically, a casino game, since the casino takes its rake out of pots for providing the room and dealer and layout, but the money moves among players, not between the players and the casino.
So if your definition of "whale" is a table-game player, then there are only two of the female variety that we know of. The first is infamous in Vegas: Kim Nguyen, also known as the "Dragon Lady." A native of Vietnam, she emigrated to San Francisco in the early 1970s, but found the place "too weird." She preferred Las Vegas and eventually moved here. Legend has it that her husband was a big-time general in the South Vietnamese army who sent her to the U.S. with a suitcase full of diamonds; he never made it out of Nam. She wasn't only the original woman whale, she was one of the original whales, period. She wouldn't blink at betting millions, both at the tables and in the sports book. She had a ferocious temper, hence her nickname, but was also George (a big tipper). She still plays high-stakes blackjack, mainly at the Palms, the last we heard, but it's reported she's mellowed a little in her dotage.
Also in Whale Hunt is the story of a woman crapshooter who'd win or lose $100,000 in a gambling session. She wasn't only rare, she was one of a kind. She was often the only woman at the dice table, but she was always the biggest player. She was also the loudest: As a trader on the floor of a major stock exchange, she was well accustomed to loud and she could well afford her $1,000 prop bets.
Other than these two, we don't know of any other female whales, if your definition is limited to table games. Even at poker -- with the exception, perhaps, of Annie Duke (though she’s gone down in stakes recently) -- all the biggest players are men.
However, if you include slot machines in your definition, this is where women whales surface. In Whale Hunt, Deke wrote, "Today [2004], almost all female whales are million-dollar slot players." He says he wouldn’t be at all surprised at women slot players with $250,000 bankrolls.
