I've also asked myself this before. Personally, I prefer it spelt
Finley. Maybe because I'm more used to 'e' because of names like
Bradley or
Riley.
While people tend to use male names on girls, they soften them using 'y' instead of 'i' (
Robin -
Robyn) or change the ending of a name (
Riley - Rylie). I don't know if
Finlay (with an 'a') makes it more feminine. Either version of this name, whether
Finley or
Finlay, is male to me.
Sorry, that I didn't have an answer.