Anyway, JENOVA take the form of Sephiroth during the game which mean it take the form of a "he". But from this picture:



It show that JENOVA is a "she" at least from the moment it is found so it might have taken the form of a "she" but since it can changes form and shape, so it sex might varies too.

I guess what really matters is that it is an alien or which look more like a virus to the world. But most likely it is a "she" or assume the form of "she" most of the time given the way Square present this character.