I never really thought of Majora's gender. But if one thinks about it, IT (since we don't know whether it's male or female, or even has a gender at all) could most likely be a woman. That would also explain why the mask was able to control Skull Kid, I mean, a lot (and I mean A LOT and not ALL) of characters in video games and movies that controll other characters minds are female. That's probably because of that stereotype that woman can seduce men with their "good looks", their "charme" and their "sweet voice".