The Woman in Red made 31 appearances in THRILLING COMICS, from her first appearance in #2 (Mar 1940) through #46 (Feb 1945). She also appeared in AMERICA'S BEST COMICS #1-2 (Feb-Sept 1942). Depending on what your criteria is for being a superhero, Woman in Red was arguably the first female superhero. Fantomah beat her by a month, but was not quite of the superhero mold.
Peggy Allen was a police officer who, like many others (including Dan Garret), used a mask and costume to battle crimes in ways that were a little outside the law.
Woman in Red was succeeded in 1946 by Miss Masque as Nedor/Better/Standard's token non-powered masked heroine.
Read more about The Woman in Red at Toonopedia.