Even when May was manifesting as a hologram/mental projection thingie, she appeared female.

That in itself is not conclusive, though, since her projection looked a lot like her eventual physical body, which we know she wouldn't have chosen for herself. Maybe she was throwing a snit because the parole board wouldn't let her manifest as a hologram of a fighter jet.

"Okay, FINE. If I can't be anything cool, then just make me look like the body those jackasses pulled out of the junk bin for me."