They don't have to have crosses on them. That's ridiculous, and that's why you haven't seen any.
Coptic women often wear white head coverings in Church that are decorated with either a cross or an icon of a saint on the back. It certainly isn't required, but perhaps that is what the OP is used to seeing, and just wants to go along with the norm. They are usually of pretty low quality, and clearly not hand-made, so it seems like a fairly recent fashion. My wife usually wears a more traditional one, it's actually a spanish-style one from halo-works, but it looks more like the older ones seen in the Coptic Church than the current trend.