Your theory is correct. There will be 3 or more protagonists. One for town, and in the end of the game u choose your favourite to rule over the others. By killing them or by making agreedments.
One of the protagonists its a woman, imagine what a woman can do to get power and money, thats right, your women caracter will be very "open minded". She is one of the caracters in San Fierro or other norther town.