Possibly during World War II in Europe
In the latest issue of Xbox World 360, Ubisoft producer Sebastien Puel talked about the possibility of a female assassin lead in the next Assassin's Creed game.
All Puel can confirm is that they've "had discussions" on the topic, and there's no hard evidence the next AC game will star a lady hero. The team is, however, leaning toward that option, specifically during World War II when many nations were run by women.
It could be really interesting but we'd need to find the right time period and place for that.
Where would that make sense? We don't want to just decide we want to change and have a female hero as the first inspiration is always the time period, but if you're talking about, say, World War II the economies in England and France were run by women because the men were off fighting.
So maybe in this context you were a woman in England during WWII. Why not? Nothing prevents us from doing it
Interestingly enough, creative director Patrice Fortier also noted that the Assassin's Creed franchise can "just expand and expand," though Ubisoft originally planned for a trilogy.