Women sometimes get a Princess Albertina piercing. This is a hole punched from about a quarter-inch (6mm) inside the urethral opening through to the outside of the opening just below the clit. So, it goes right through the wall of the peehole. Then, a curved barbell or ring is inserted into the opening. When the inner labia are closed, it cannot be seen. Like the more common male equivalent piercing, the Prince Albert, this is typically performed without anesthesia.
In the photo above, you can just barely see the Princess Albertina piercing peeking out from within the vagina.