I adore
Henrietta! If I met sisters named
Theodora and
Henrietta, I definitely wouldn't assume the parents had wished for boys to be named
Theodore and
Henry, though I understand why you would fear that.
I love
Henrietta Winifred, and those nicknames are very cute. My favorite is Hetty, though that's too close to your cat's name. (Although, my family's dog is named
Minerva "Minnie"--I suggested
Minerva as a full name for
Minnie, which my mom wanted--and I would seriously consider naming a daughter
Minerva!)
Winifred is my favorite, followed closely by
Theodora.
Hermione would also complement
Theodora beautifully. I don't care for
Lucienne (independently and as a sister to
Theodora), however.