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I've also asked myself this before. Personally, I prefer it spelt Finley. Maybe because I'm more used to 'e' because of names like Bradley or Riley.
While people tend to use male names on girls, they soften them using 'y' instead of 'i' (Robin - Robyn) or change the ending of a name (Riley - Rylie). I don't know if Finlay (with an 'a') makes it more feminine. Either version of this name, whether Finley or Finlay, is male to me.
Sorry, that I didn't have an answer.