Not in the movies but in Underworld universe they do have female lycans, before Rise of the Lycan came out, in the novel Blood Enemy there are several female lycans that play a huge role in the story.
Grushenka is a character in the non-canon novel Blood Enemy. She is a Lycan who works as a laundress for the Vampires. Grushenka does not exist in the official canon of the Underworld series.
Also there is an Underworld anime film that delves in the distant past, the near past and the present day with Selene hunting three Delta Lycan brothers. One of the brothers has a harem/pack full of female lycans for his pleasure and reproducing. It's called: Underworld Endless War.
Per Wiki of endless War in Part III:
Michael's attempt to take Krandrill by surprise is foiled when Krandrill picks up on Michael's scent first, and Michael hears howling, all before Selene can meet him there, as she has to deal with the IPU men (who also heard the howling). Michael crashes through the entrance, only to be taken by surprise himself by Krandrill (already in werewolf form), and his harem of female Lycans (all of whom are armed), and transforms into his hybrid form