While playing XCOM 2 it seemed to me as if the dialog authors went to great lengths to avoid referring to the player-character with any pronouns. They always refer to the character as "The Commander", even in lines where using a pronoun would have seemed much more natural. I suspect that they consciously tried to avoid gendering the player. But maybe that's just my imagination.
While doing my own research I found several interviews with people from Firaxis where they mentioned that diversity was very important to them during the development of the new XCOM games, but they focused mostly on the squad members, not on the commander.
Is there any situation where the writers slipped up and referred to the Commander as "he" or "she" or otherwise implied their gender? Examples from the first part would count, as the commander from XCOM: Enemy Unknown is canonically the same person.