In Hellraiser, women seem to be at the heart of sexual temptation and the all-consuming quest for extreme sensation. Characterizing both hero and villain as female adds even more dimension to these themes. Clayton's performance might even be considered more chilling, or at least terrifying on a different level.
The original book that it's based on, The Hellbound Heart, was suggestive of a female Pinhead, and the comic books also explored the idea. There's also plenty of fan art, wonderful works that all theorized the possibility of Pinhead as a woman. So it only felt appropriate to us.
