As I just answered, Borg don't have sexual reproduction.
The Borg Queen seems to have replaceable bodies.
So why does she even have a gender (e.g. Borg Queen vs. Borg Leader)? She does have one - aside from the name; She keeps trying to turn males into her consorts (Locutus/Picard, then Data).
One possible guess is that show creators trying to parallel her to an insect queen. But this seems inconsistent - she should have been genderless.