Grima is a dracolich, rezed after a thousand or so years which would generally mean genderless by then. I'd say it goes with the reasoning behind character customization that if it cared it could alter it's being to be either one.
The reasoning behind character creation is that since you're connected to the great power you could look anyway you wanted too, but the reason you can't change after starting the game is that you forgot not only how to change but how to access the power until its necessary, and then you were just accustomed to whatever you were by then, not focusing on being a shapeshifter anymore but rather the person you are now.
Grima is the one it chooses to be what it is when it wants, but it's not going to care until after it's sated its blood thirst.