That's something I thought about quite a bit, actually. James traditionally identifies as male, which made him somewhat uncomfortable in the Pangloss clone body. And, though this never came up in game, I also considered him asexual, so far as orientation goes.
As far as the sexless green goo form is concerned, I definitely think his perception of being male has diminished a great deal by that point. Once his biological functions had been shed, James spent most of his time researching, running experiments, and making things. And with his "universal data port" power (or whatever I called it), I imagined him (or part of him) as pretty much always being online, browsing journal articles and super science forums on the darknet. As he takes in more information--and he takes in a lot--the percentage of his hard drive taken up by his original biological memories gets lower and lower.
He still has memories of being physically male, and of being raised as and considering himself as such. If you asked him when he was in the Pangloss clone or even the robot, he would still have said he was male. But he's probably more comfortable in the goo body than he's been in a long time (though it takes some getting used to).
At the end of the day, while James is aware of psychology, sociology, and gender studies, his primary mental focus is always on technology, so his own gender isn't really on his mind that much. If somebody straight-up asked Green Goo James if he still considered himself male, he'd pause briefly, cock his head and say, "I suppose not, no," before either returning to what he was doing, or engaging the person who asked (or just himself, thinking out loud) in a philosophical discussion as what it might be like to be born as the substance he is now, never having the biological sex mechanisms that we tend to tie to gender roles. Then he'd probably wonder if he could track down the giant shoggoth/godzilla at the bottom of the ocean and ask it. Well, not ask it as such, but plug in and translate its thought impulses into something human-readable. Then he'd wander offer, muttering about research methodology for inter-species direct thought translation...
Wow. I just realized how much I miss playing James. He was fun.
Externally, I just keep calling James 'him' to keep from coming up with separate nomenclature. Calling him an 'it' would seem kind of rude and objectifying. To me anyway. James likely wouldn't care too much.