The earliest I have been able to find a female magician, two actually, performing in America is 1839.
The Albany Evening Journal of September 2, 1839 had an advertisement for Miss A. R. Mills, The Magicienne, performing at the Albany Museum. She had a great writer, here is part of the wording:
Tuesday, and every evening during the week, a variety of novelties will be introduced by Miss A. R. Mills, the accomplished enchantress, or lady magician, whose astonishing powers in the occult arts and sciences, and whose beautiful illusions and scientific illustrations of the marvelous and apparent supernatural feats, performed by the ancient eastern astrologers and magicians.
The December 13, 1839 issue of the New Bedford Mercury had an advertisement for Miss. J. E. Wyman, Enchantress, or Lady Magician. She was playing along with her brother John Wyman, who was billed as a ventriloquist. She was about 16 years old and they toured together for a number of years. John went on to became one of the most famous magicians and ventriloquists of his age.
Let me know if you would like copies of the advertisements.