You can play male, female or non-binary characters without gaining any special physical benefits or hindrances. Likewise, your character’s sexual orientation is for you to decide.
However, one should think about how your character does or does not conform to the broader culture’s expectations of sex, gender, and sexual behavior.
You don’t need to be confined to binary notions of sex and gender. The elven gods Daga and Nattr has both transitioned to the other sex, while the god Hagbard is often seen as androgynous and somewhere inbetween.