To add, when being shapeshifted as any other creature or gender, he's still referred to as male. The act of shapeshifting is semiuniversal and not special to Loki. All jötnar shapeshift, even Óðinn, an æsir, shapeshifts into an eagle. But, it'd be a grammatical incompatibility for Loki to ever be called female. Loki is a weak masculine noun. If using a feminine pronoun, it would default to the last feminine noun, not any masculine. In many languages(including Old Norse) this distinction is necessary with the language, as gendered language is used for far more than just people. We alternatively should point to Loki in the Marvel Comics, where being gender fluid has been pretty common. However it's very harmful to history to grasp at ideas and straws that just simply never were there.

STARFIELD TRAILER LEAK
https://www.washingtonpost.com/video/sports/launcher/trailer-starfield/2021/06/13/6dc44dc4-fbc4-4073-b99e-88593e4127aa_video.html

There are at least 10 different Microsoft design languages/conventions in Windows 11: Win32, MMC, XP, Aero, Ribbon UI, Metro, Modern, XB1 dash, Fluent, and Sun Valley...