There is nothing wrong with making the request, and the university should try to accommodate you to the extent that it can. This isn’t to say that you will get exactly what you want every time. In some cases, a perfect accommodation may not be possible. But you should have a better chance with Newnham and Murray Edwards.
One thing to think about is what you can do when you don’t get a perfect accommodation. You say that having an all-female supervision group is more about comfort than religious strictures, so perhaps you would be willing to compromise so long as you don’t ever have to be alone in a room with a man.
If so, you can make it clear to the university that you are a reasonable person by saying that while you would most prefer an all-female supervision group, you understand that you might have some groups that are just mostly female and maybe even the occasional group that is mostly (but not entirely) male. This sort of compromise would make it a lot easier for them to try and make sure that your one-on-one supervisions are always with female supervisors.
And if that proves difficult or impossible in some cases and you absolutely have to have a male supervisor in a one-on-one supervision session, you might look into whether or not you can have a female in the room during those sessions. This could be either a female supervisor who is free at that time but not an expert in the relevant subject, or someone else who could just be present and watchful in a way that allows you to adhere to your religious beliefs).
@Jeruba A lot of students, especially incoming students who are adapting to a lot of new things at once, are hesitant to bring up their concerns directly to university administrators. It can be hard to know in advance how receptive the school will be to one’s requests, and it is a common fear that merely asking could negatively impact one’s experience and/or future.