Odin's wife was called Frigg (Freya). If you accept the Norse origins of the other days, then Fri day becomes a realistic derivation. Interestingly, the Romans also saw this day as female, as they named it after their goddess Venus. This Latin root remains in the French for Friday, Vendredi.
You will often see her wearing a robe of feathers, which enabled her to fly through the air like a bird.