Can you recount the story of how Sai Baba demonstrated his presence in all animals to a female devotee?

Certainly. In an incident from Chapter 9, a lady devotee in Shirdi was about to eat when a hungry dog and then a mud-smeared pig appeared at her door. She gave a piece of her bread to each of them. Later that day, when she went to the Mosque, Sai Baba told her, "Mother, you fed me today; by that, my stomach is full to the throat." The woman was confused, but Baba explained that he has oneness with all creatures. He revealed, "that dog which you saw suddenly, I have oneness with him... Similarly, the pig smeared with mud all over... I have oneness with him." Through this experience, he taught her the profound truth of his omnipresence in all living beings.