What was the first women-only event held in Chess history?
The First International Ladies' Chess Congress in London, 1897. Games commenced on June 23 and the tournament was finished on July 3. It was organized by the Ladies' Chess Club of London and the Women's Chess Club of New York. The time control was 20 moves per hour, from 1 to 5 pm and 7 to 11 pm. Two games were played per day.
Results (after 19 rounds):
- Mary Rudge 18.5
- Louisa Matilda Fagan 15.5
- Eliza Mary Thorold 14
- Harriet J. Worrall 13
- Marie Bonnefin 12.5
- F. Sterling Barry, Edith Margaret Thomas 11.5
- Gertrude Field 11
- G. Watson, A. M. Gooding 10.5
- E. H. Sidney, Alice E. Hooke 10
- Rita Fox 9
- Anna Hertzsch 8.5
- Eschwege 6
- Müller-Härtung 5.5
- De la Vigne, Forbes-Sharpe 4
- Finn 3.5
- Stevenson 1
Referee: Harry Nelson Pillsbury
My sources are
The first women's world chess championship was held in London in 1927 and won by Vera Menchik (who successfully defended her title until she died during the Second World War). The WWCC was organized by FIDE in 1924.
There doesn't seem to be any record of a women-only tournament before that time.