Gretzky's records are so insane that I won't even bother with the NHL.
From the ladies' side, HHOFer Riikka Sallinen (née Nieminen, previously Välilä) was quite productive in two different sports around 1993-1994. In the summer of 1993 she first led the top women's national pesäpallo (Finnish baseball) league in runs batted in, runs scored, runs produced, lead runners advanced, and lead runners advanced %. In other words, she led every single offensive category there was. *And* she was also selected as the best defensive player in the league.
Then, after probably the most versatile performance in the history of that sport (since 1920), she switched to hockey. In 1993-94 she scored a record 73 goals, 56 assists, and 129 points in 21 games in the top Finnish women’s hockey league. That's over 50 % more points than anyone else ever per regular season as we speak (though future HHOFer Jenni Hiirikoski broke her assist record with 62 in 28 games back in 2016). In the playoffs she settled for 11 goals and 11 assists in 5 games to win the title, and then finished her season by leading the women's World Championships in points. Her next season was almost as impressive, and between 1993 and 1995 she was probably the best female player in the world in two different sports simultaneously. She also won multiple national league championships in four different sports, and was selected as the Finnish female player of the year multiple times in at least three of them (bandy was her third sport).
That said, Hanna Teerijoki holds the European record for making the national team in six different sports (bandy, ice hockey, field hockey, rink bandy, association football, and golf). In bandy she was so dominant in her prime that HIFK men's top level team once offered her a spot, but the national bandy association instantly responded by banning women from playing against men. Her latest achievement was being selected as the women's top bandy league player of the season in 2020, at the age of 56 (!), albeit she "only" finished fifth in scoring that year.