Although it is not common in Westeros for women to receive training to wield a weapon, we have seen exceptions in the cases of Arya Stark, Yara Greyjoy, Brienne of Tarth and Meera Reed.
Having said that, I do not expect women like Cersei, Margaery or Sansa to have this inclination. I can't recall Daenerys Targaryen engaging herself with weapons in any of the 40 episodes of Game of Thrones.
Is there any evidence, direct or suggestive, that Daenerys inclines to learn to wield a weapon in any of the 5 ASOIAF books? Dragon riding and control doesn't count.
Information after ASOS can be put in spoiler tags.