Board Thread:Sly Cooper series discussion/@comment-24359967-20140530212422/@comment-24359967-20140531023827

You may be right about the timeline alterations. My thinking in this is that, if she is Clockwerk, then she never heard about his past defeat, created the Clockwerk body to defeat Sly, but somehow got trapped in the past and sought to destroy the Cooper clan throughout the ages.

As for the male/female issue, I don't think Penelope would have a problem changing into what could be considered a male form. The Black Baron persona suggests she has no problem taking on male appearances and roles, and she seems to do this again with the Black Knight. I know she still had a female body in these persona because they were just mech suits she wore, but with Clockwerk she would be replacing her entire natural body with machinery, getting rid of her female form.