Which american female blues singer, initials MM, died since the year
2000 and probably appeared on the Morcambe and Wise Show and with
Michael Parkinson??

Probably Marian Montgomery who died in July 2002. She guested on
'Morecambe & Wise'and was a regular on 'Parkinson'. She was more of a
jazz than a blues singer but I can't think of anyone else who fits.

It was for sure Marion Montgomery, she was married for many years to
British pianist Laurie Holloway and a close friend of Michael
Parkinson.
I was at a jazz club "Pizza on the Park" in London just 2 nights ago
watching Sir Richard Rodney Bennet in cabaret and he tells a story
that it was he who first accompanied Marion Montgomery at that very
venue in her early days on the jazz club circuit in the UK.