He was on his way to a meeting in Pembrokeshire when he noticed the woman dangerously close to traffic.
Coleman is said to have driven around Haverfordwest for half an hour to see if the woman could recognise her home, before calling friends in the town to ask for help.
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An Amber weather warning has been issued for Conwy, Denbighshire, Flintshire, Gwynedd, Isle of Anglesey, Powys, Wrexham and Ceredigion.
Storm Doris will bring a squally band of rain at first with disruptive gales, especially further north.
Winds will strengthen to gale force by dawn, these severe across exposed coasts and hills particularly in the southwest.