[@NecroKnight] Women can be the Lady of the holding but only in specific circumstances, it's not a widespread practice in Westeros and I take it on a case-by-case basis. So it's possible but I'd have to see how you handle it first. 

Because of Brienne and other warrior women, Lady Knights are a thing but of course they're still relatively uncommon in most of the country. 

Hmm I'm not sure if that would fit in the canon. As far as can be indicated, all of the marcher lords, or at least those mentioned, in the Stormlands are on equal terms and swear fealty directly to Storm's End. Everything in the text shows that Houses Caron, Dondarrion, Selmy, and Swann are all equally powerful. Making one of them the Lord of the Marches or having a non-canon House who would rule over all these powerful Baratheon vassals wouldn't be fair to anyone who wanted to potentially play them down the line in my opinion.

House Caron claims the title of Lord of the Marches but they have no official power in that capacity. Effectively this would make House Baratheon the house with dominion of the Marches.