While this happens mainstream with videogames a lot, I've also seen it around several gaming tables and I figure it is worth talking about. For some of you this may bother you - and feel free to disagree with me on it all you want. For others, you may feel the same as I do, in which case maybe this will give you some counter-arguments to make.
Let's put this simply: 'Historical Accuracy' is not a reason to deny someone playing the character sex, race, or anything else that they want.
General Trends vs. Exceptions
Here's the thing. When you say "Women didn't fight in wars" you're flat out wrong. Women have fought in every major war that has happened in the history of the world. They have not always fought openly, but they have always fought and been a decent portion of the troops there. If you go more specific and say women were not soldiers, or were not allowed to be soldiers, you may be more right. Except that women still enlisted and fought in wars, they just did so in disguise.
Book knowledge, and what we learn about history - unless you go very in depth in an area - is going to give you general trends and what was reported. The rule may have been "women don't fight" or "people of that skin color were not in the area," but every rule has exceptions.
PCs are Protagonists. Protagonists are Special
The PCs in your game should be the protagonists of the story. This means they're special. The story is going to revolve around them. The world might not, but the story should.
Now tell me. What sounds less 'historically accurate.' There is a farm kid that the King wants dead, will dispatch army's to try to kill, and despite having armies coming after them and not knowing how to fight by the end of the story, will kill the King (a famous sword fighter himself) in single combat, at which point they'll be recognized and accepted as the new ruler by all - including the King's army and personal guard.
There is a trained knight and sword fighter that happens to be a woman. And this woman became a knight and fighter for reasons other than she was sexually assaulted.
Because one of those is a story so common - in historically accurate fiction and otherwise - that it's a trope. The other is something people get up in arms and full out screaming bouts about.
Absolutes Are Almost Always Wrong
As far as I know this may be one of the only absolutes to not be wrong immediately, but out of respect for it I will hedge it.
The problem with an absolute (i.e. "there were only white people in medieval europe") is that a single exception proves them wrong. And "white people were the majority" isn't a reason to stop someone from being non-white.
Being An Exception Is More Interesting And Will Lead To More Interesting Experiences
Male knights are a dime a dozen. Whites in Western Europe were even more common. Someone being from these backgrounds like that isn't wrong, but isn't it more interesting to be on the road less taken? How does the protagonist deal with being an outsider? What hurdles does the female knight have to overcome?
Even if you don't want to deal with that, you can just not deal with that and not have it impact what your players are doing - or what characters your fellow players want to play.