I would do nothing. Even if woman has shown signs that she is offended by this and I would feel need to help her to cope with stress, I'll do nothing. It is hard to talk with offended and to not offend her even more.
I generally try to avoid communicating with extremely sensitive people. It is pain to talk with them trying to guess if the next my comment would offend her or it wouldn't. It is just boring, you need to stop making fun from life, stop joking, stop thinking in unexpected ways and try to think in a ways the most people think, because it is the only safe way.
Situation becomes worse if such a sensitive person already feel offended.
