The Dragon Star
There are an assortment of roles and backgrounds available for characters. While there are limitations on what female characters can do (especially at higher social levels), there’s always exceptions (up to and including female mercenaries). Most characters are going to be from Europe, North Africa, or the Middle East; as the game is pre-Marco Polo, there’s not going to be enough travel to Asia to warrant characters from farther away that perhaps Persia. (As always, though, if you can justify the idea and sell me on it, I’ll likely let you go with it.)
Characters with exceptional backgrounds (noble titles, large amounts of resources, etc) may wish to consider purchasing an Advantage to account for that.
There’s probably two main ways of coming up with character concepts: either by creating a normal medieval character and then assigning them a power set (much like the powers granted by the dark matter explosion in the Flash tv show); or by creating some sort of analog to a comic book character, and then figuring out a background that wouldn’t clash too much with that. Either works, and I’m willing to discuss ideas if you’d like.