I think that many women are desperate for a just world, so more turn to religion.
An interesting thought. One social theory about religion is that the disadvantaged turn to it for moral support. Those who "have their paradise now", as we would sometimes say as Witnesses, tend to have little interest in religion.
Seeing as women are somewhat disadvantaged in first world societies, more disadvantaged in the third world (someone mentioned lack of education opporunities for women), and extra-disadvantaged within the realm of the JW religion, you can see how they would feel a stronger need for a heavenly Judge and Lawgiver.