I know. But Majora is just some dark matter with a mask or something along those lines. You can't give a gender to that.
It is possible, bro, that the entity was once a man or woman who worshiped diabolic spirits, or was sacrificed to them, and they required a human soul in which they would manifest their malevolent power. But the spirits became too violent and had to be contained in the Mask. Majora (perhaps that was the person's name) then took on the different forms made by the evil forces within, alongside the mischievous behavior lending to their malicious practices.
The people who revered these spirits would, of course, be the Dark Tribe. I believe it was Zant who once alluded to something along the lines of a destructive magic, was it? Could this possibly have been the demon Majora, and it was indeed the Twili who made him or her what it used to be (as Link killed it in Termina, way before TP's time)? Yet another issue the Historia didn't bring mention to, though it's only to my knowledge.