I think one should use une in this context. E.g,

— Combien ?

— J’en voudrais une.

Une is the feminine form of un and agrees in gender with the nom it qualifies.

Une maison. Vingt et une maisons.

The remaining cardinal numerals adjectives are invariable for gender.

Cardinal numbers are used to denote the day of the month, the year, the title of the king (except the first see below), the page.

They may also denote acts, scenes, volumes and chapters other than the first (see below).

page un(e), Henri Quatre, chapitre treize, scène vingt et un, etc.

In all the cases above un (as well as vingt and cent) is invariable.

The ordinal number premier is used to denote the first day of the month, the first of a series of kings, emperors and the like of that name, and the first act, scene, chapter, etc.

Le premier mars. François Premier. Chapitre premier. Acte premier. Scène première.