WHILE Los Angeles reporters were chasing Hollywood ''madam'' Heidi Fleiss last week, their New York counterparts had a feeding frenzy after rumours spread that John F. Kennedy Jr had married girlfriend Daryl Hannah during their stopover in Hong Kong. The Big Apple was rife with rumours the pair tied the knot between waiting for the bus at Kai Tak and having a blazing row at Ocean Terminal. Nobody could explain the romantic appeal of Cotton Tree Road over, say, a South Sea diving paradise. But the rumour mill claimed the couple had taken a US marriage licence with them - allegedly thinking this document would allow them to marry wherever they wanted. Unfortunately, the theory crash-lands - a marriage notice has to be displayed for 15 days in Hong Kong, unless - as with Baroness Dunn and Michael Thomas - a special licence is granted. The Immigration Department said it had no record of either name in its births, deaths and marriages section and The Regent hotel spokeswoman Sheila Arora said the couple were not housed in the bridal suite. Nevertheless, P.S. wonders if New York reporters were combing out-of-date phone books looking for drive-in marriage chapels in Kowloon Tong.