Anonymous2(1): (Yuji Naka notes the dream world residents "shouldn't have a gender, rather, the form of the characters should be determined by the person who is dreaming." Takashi Iizuka said that NiGHTS' gender is a mirror of the gender of the person dreaming of NiGHTS. Takashi Iizuka later said they have "no gender. The impressions of the character with regards to gender are totally up to the player")
Since they are a dream being, an amalgamation born from humanity's dreams, they are genderless just by being.
https://web.archive.org/web/20100716223910/http://www.nightsintodreams.com/?p=1343
https://web.archive.org/web/20120306003449/https://www.gamesradar.com/nights-team-prefer-gamecube-pad-to-wii-mote/
https://web.archive.org/web/20160303175007/http://www.nintendolife.com/news/2007/12/interview_takashi_iizuka_talks_nights