Lemony is a trans man

'''“What do you think, Mr. Snicket? Do I look like a boy?” “No. From a distance, maybe.” ”How is this going to work?”“It’s easy,” I said. “I learned how to do it.”“From your organization.” “Yes,” I said'''. Where did you see her last? Chapter 8

According to the part of WDYSHL (When Did You See Her Last) book, there's a theory that Lemony Snicket's sex and birth gender is a girl, but became a trans boy at some point of his childhood. Later he was taught how to behave like a cis male by VFD. This theory is highly unlikely, because Lemony could be simply talking his and Ellington's plan or Ellington disguise. He went through a disguise training during the official VFD training.

Source:

https://snicket.fandom.com/wiki/User_blog:ConnieBlackwood/Possible_Queer/LGBTQ%2B_Characters#Lemony_Snicket