When it comes to the official Legend of Zelda games and promotional materials, the closest we ever got to a female version of Link was Linkle in Hyrule Warriors Legends. When you take a look at third party depictions, an interesting piece of art popped up all the way back in 1986.
Japanese magazine Shonen Captain featured the above artwork for the original Legend of Zelda. This art was created by the magazine's staff, and apparently the people in charge believed Link to be a woman in the game. As a matter of fact, the magazine's feature on The Legend of Zelda is chock-full of female Link depictions!
If only we could track down some of the magazine's staff to see how this mistake came about. I'm sure this feature lead to quite a few confused players when they fired up The Legend of Zelda for the first time!