Its more the word "King" that was gendered. "God-King" - whereas she recently referred to herself as "Goddess"You sometimes see one of the words for "God" being written as Elohim. "Elo" is a male god, "-him" is a feminine plural ending. The true nature of an overall god must include both genders. I see Illyria like this with female form but not necessarily female thought patterns (other than her liking for Wesley).
The first time that Illyria appeared in Fred's form, when Fred's parents came to visit unexpectedly, she told Wes that she could appear "however she pleased." That might be construed to mean that Illyria could appear as a man, woman, or even any demon or animal, depending on the necessity, though obviously, we never saw any evidence of it either that Season or later in the Dark Horse issues. It would, however, lend credence to the point that, in Illyria's case, gender could be whatever might be convenient at any given time.We've only seen them in Fred's body, although if things had gone a little differently, Illyria might have occupied Gunn or Wes' body instead and have bcome a 'he' for the ease of reference.