In reply to Andy Hardy:
There's actually a little wooden bivi hut quite close to Hen Hole, about half a mile away, on the Pennine Way. We stayed in that when we climbed there. Also the approach described in the guidebook is very long or requires written permission to drive nearer. It's simpler and quicker to walk in from Cocklawfoot to the west on the Scottish side (about 1.5hrs), though the drive may be longer depending on where you're coming from. And finally, be aware there are adders at the crag, you wouldn't want to get bitten that far from help.
In reply to Frankie Boy:
The obvious crag in the Lakes that ticks all your requirements is Pillar. Esk Buttress would be another with a camp in Upper Eskdale.