I do think it sounds as though they are viewing your personal circumstances as a female candidate differently to how they would with a male candidate, which is of course discriminatory. I also think the agency sound a bit of a nightmare and you should steer clear of them.
Having said that, I think if there are two or more good candidates for a job, it's perfectly understandable to offer it to a candidate who won't be relocating for the job.
Relocation is an upheaval, and selling house/moving schools/partner giving up work are all big commitments to make and big changes to go through as a family on the back of a new job.
Nothing wrong with doing that at all, and of course lots of people do, but there are problems that might come with it and that may be avoided by offering to a local candidate.
Some people do not handle the transition and upheaval well, or their family don't, and the relocation fails.
A new job is not secure. I had a client recently who employed someone new who relocated especially for the job, and then had to terminate (for good reason). My client delayed and felt very responsible and concerned because of the relocation, he was very conscious of the upheaval and big life changes that the new employee had made on the back of this job.
I do agree that it sounds like they are making more assumptions because you are a woman though. I like Tribpot's answer.