Biologically, Grelle's male. The rest is up to interpretation.
born male but shes a transwoman pretty sure
I see a lot of people say Grell is gay. that is NOT it. Its not that Grell is attracted to the same gender s/he was born (male) but sees herself as a female. Yana herself answered that Grell was born in the wrong gender (male) and is a trans.
Yana Toboso hasn't publicly said anything one way or another. However, Grell stated that they were "upset that they couldn't give birth" and that's why they got along so well with Angelina. That is a very heavy hint that Grell is MtF transgender. However, the characters in the manga/anime INCLUDING their friends, all use male pronouns when talking about Grell. Grell uses female titles for themself such as "actress", "goddess", "lady" and so on, but it's not totally clear.
A lot of people will argue that it doesn't get any clearer than that. But here's my personal problem, super flamobyantly gay people often refer to themselves with female pronouns and titles. Drag queens also use female pronouns in their "queen" state. But also jokingly/seductively refer to their own body parts as feminine ones, despite them being biologically male. But that doesn't mean that they actually want to be female, rather than they are in touch with their more feminine side.
So, if your question is "What is Grell's sex", Grell is biologically male. However, because of the fact that Yana Toboso hasn't stated whether Grell is MtF or just a Drag Queen, the safest option is to refer to Grell by gender-neutral pronouns "they" and "them". That's what I'm doing anyway. And unless something comes out in the manga or in something that can be professionally and unbiasedly translated, I'm not going to stop.