Or HaChaim on Numbers 25:8/אור החיים על במדבר כ״ה:ח׳

1 וידקר את שניהם, He stabbed them both. We can understand that Pinchas had a legal excuse to kill the Israelite who indulged in sex with a Gentile woman; however, what right did he have to kill the woman? There is no known halachah which excuses such a deed! If Pinchas suspected that Kosbi was married and as such had made herself guilty of adultery, who has ever heard of executing someone on the basis of such an assumption? Perhaps Pinchas applied the law applicable to animals to Kosbi. We have learned in Leviticus 20,15 that when humans and animals indulge in mutual sex even the animal has to be executed. We are also told in Ezekiel 23,20 that the flesh of Gentiles is equated with the flesh of donkeys.

2If you were to ask that if it is so why didn't the Israelites execute Kosbi seeing she did not belong to a nation whom the Israelites had been forbidden to kill, [such as the Edomites and Moabites? Ed.] the answer may be that they had not yet offered peace to the Midianites. [Jews must extend an offer of peace and surrender to an adversary other than an invader before going to war against such people (Deut. 20,10) Ed.] While it is true that in the event, [at the beginning of the punitive campaign against Midian. Ed.] we do not find that the Midianites were offered a choice of surrender or even "transfer," this was after G'd had given specific instructions (28,17) to harass the Midianites. Alternatively, the Israelites may not have known the identity of the woman in question believing her to be a Moabite; in that event they were under stricture not to harm the Moabites. She may even have worn Moabite style garments in order to hide her true identity. The fact that the Torah describes her as a Midianite does not prove the Israelites were aware of this at the time.