I firmly believe that Gods as ethereal beings don't/can't have gender. (Gender is limited to the physical forms that they use, and disgard, while visiting the mortal realms)I think that Nergal should be a man but the player gets to have his one of daughters as an ally to fight him, maybe another character or even Naamah being said daughter who is either forgotten or unfavored. Think about it, Nergal did bless Erevi and ED is connected to Naamah as a kind of Avatar, so there is enough room to claim that Naamah is a daughter of Nergal. As for Incubi, I feel they should be end game enemies that you have to fight against or risk having them get it on with the girls, and Nergal himself and his Champion do not play around if they are challenged and you'll risk seeing some NTR scenes if you fail.
If Nergal does become a female version of himself, it would be better if he died and then either his souls was bounded with either Ziva or Erevi, cleansing or consuming it respectively to become all power but only if they keep it as you can convince them to give it up to sire a final daughter.
My favorite theory of how gods get their physical forms is through the imaginations of their worshipers (if their followers imagine a Masculine Demon with big sharp teeth & tentacles while they pray then their god will draw on that when creating their form), so with the MC as Nergals chosen one "he" is probably doomed to being a "she"... more specifically a Big Titted Bimbo she