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Some depictions of women have been found in a synagogue and in a church in Dura-Europos, near today's border between Syria and Iraq, and not older than mid-3rd century. They show women with headdresses, but one image that is sometimes assumed to be an image of Mary herself is without headdress.
The catacombs in Rome also have at least one image that is supposed to be of Mary, but it is a bit hard to make out what exactly she is wearing.