There may be a connection with "hen", or there may not; as I have said, however, "hinny" and "honey" were used interchangeably in the 19th century. That is a matter of fact, not speculation. A "hinny" is also the offspring of a stallion and a she-ass, of course, but that is irrelevant here. I've never come across "hinney" used simply to mean a female; the usage may of course occur somewhere or other (though it does not appear in standard Scottish and English dictionaries), but again it is irrelevant here, as the term, as used in the stated context in the North of England and in Scotland, is not gender-specific.