It was in 1900, for the first and only time.
The 1900 Olympics, held in Paris, were also the first which allowed women to compete (an Olympic tradition which has, happily, had a longer track record than croquet). According to Olympic games historian Bill Mallon, two women competed (with other men) in a croquet match which began on June 28, 1900. Women also participated in tennis and golf in the 1900 Olympics, but since the croquet match took place first, the women croquet players were the very first female Olympians.
Perhaps not coincidentally, the 1900 Olympics are regarded as something of a fiasco. Held in Paris, the 1900 games were combined with the 5th Universal Exposition that Paris also hosted in 1900. This apparently created such confusion that even some of the Olympic medalists were not aware until much later that they had actually been competing in the Olympic games!