The main character, Ai Enma, has always been portrayed as a female figure. She's a mysterious figure who offers people a chance to send their tormentors to Hell.
The anime series Jigokuraku: Hell's Paradise, which has some similarities in concept to Hell Girl, features a female protagonist who disguises herself as a man. However, this is not the case with Hell Girl.
Let me know if you have any other questions about the series. 😊