Would anyone want to get that close to a Nazgul that they could look under its cloak to check its gender? It's a bit more scary a prospect than looking up a Scotsman's kilt.
Yes, there could have been female Nazgul, as they are without bodies so how would we know whether they are male or female? But doesn't it say in the text that some were Kings, which must mean they are/were men - if it is a story which has been passed down correctly that is. In The Silmarillion it says they had been "kings, sorcerors and warriors of old". Again this is odd, because it must mean that wizards also existed in ME in the second age, if they had been sorcerors - or is it again that the story has changed in the passing on?
As to whether Sauron was being sexist, I don't think he would have cared who he was tempting as long as they were powerful leaders of Men - he probably worked very quickly before he could have been prevented from carrying out his act. If the Nazgul were monarchs then it would have been more likely that they were male as it seems the practice of primogeniture existed in ME with few Queens being crowned, unless all monarchs' first born were conveniently male?