For an understanding of why Fry is male and not female, I believe that we need to journey deeper into the background continuity of the series.
This post deals with some of the details.
Timeline:
1. Fry is born to his mother and Yancy.
2. Fry travels back in time and impregnates his grandmother (Mildred).
3. Fry's father (Yancy) is born to Fry and Mildred.
4. Yancy impregnates Fry's mother.
Timeline (with Y Chromasome):
1. Fry is born with a Y chromasome, inherited from his father's "Y Sperm".
2. Fry knocks Mildred up with a "Y Sperm".
3. Fry's father is born with a Y chromasome, inherited from Fry.
4. Fry's father knocks up his wife with a "Y Sperm".
5. See point 1.
The "Y" chromasome originates with Fry (or at least, this is the simplest place to visualise it). It is passed from Fry to Yancy, who passes it back to Fry. Without Fry, Yancy would not have a "Y" chromasome, and without his passing it on to Yancy, Fry himself would not have the "Y" chromasome to pass on.
And finally, for any who just can't grasp where the "Y" chromasome
originates, here's a visual aid:

The "Y" chromasome present in Fry
originates from himself! Fry's "Y" chromasome is a spontaneous aberration arising from the fact that if he had not travelled back in time, then his father would not have been born, meaning that the "Y" chromasome would not have been passed to him. It is very likely that this means there is something "special" about Fry's genetic makeup
beyond his incestuous paternal heritage. This may very well come from his mother's side of his family - after all, there has to be a reason behind
her part in the production of Fry's "special mind".
This is, however, a thought that I came up with purely in order to attempt to justify ehat appears to be a closed system.
Since this is an unfilled gap in the continuity of the show, further elaboration would merely me guesswork. However, this would seem to be a reasonable explanation within the "rules" that Futurama (loosely) obeys.
One other way in which to explain it away is that at some point, a quantum fluctuation occurs, and the waveform
potential for Fry to have a "Y" (thereby givng Yancy one also) chromasome collapses into reality.
Here I quote from an old thread regarding
The Why Of Fry: (Unfortunately, I appear to have closed the window before copying the URL, and I can't find it right now. If I do, then I'll edit it in here)
Originally posted by Chalic:
I actually agree with something TNerd said, that multiple universes only exist "in potentia" until the quantum choice is made, and then all the others simply do not ever exist.
In short, I see no concrete reason for Fry's "Y" chromasome to be seen as "impossible" within the boundaries of the show. I
do see a clear chain of events that whilst it defies an explanation in light of
known facts regarding the canon of the show, could quite easily be explained via the introduction of further information.