Frank Miller did something similar with his All-Star Batman and Robin, and that's something we'd be better off not talking about.)
No takers for 'I'm The Goddamn Phantom!' then?
As regards the idea of a female Phantom, that thought did occur to me the other day. What if one generation of the Walker family had no sons, just a daughter? Would she don the costume? A female might look better in that skin-tight purple get-up, for one thing!
It would certainly be a good novelty for a one-shot story, if nothing else, but I wouldn't be surprised if some movie or tv maker decided to have a female lead for a version of the tale. Unlike making a Jane Bond or a female Dr Who, there could be a simple, sound, sensible explanation for a female of the family having to take up the mantle.