Sure I can. Look up stats for suicide rates by countries.
Jumping off the roof of a building, overdosing meds, cutting off wrists, shooting a bullet in the brain are all means to an end. Lighting ones' ass on fire is no different. But you can argue otherwise if you want. As for not hearing about women setting themselves on fire, it's because you didn't pay enough attention.
If you wanna focus on the US, I'll have to admit that I don't know many self-immolated women there, but the famous case of Alice Herz comes to mind nonetheless. If you wanna extend it to the "non-Afghan world", I can literally flood you with cases. But here's the most recent one I stumbled upon.
P.S: I can remember that a couple of years ago, an Israeli set himself on fire because T'sahal pulled out of Gaza.