Warning: Spoiler!Well, I've seen this ep as well now. Since we had another major Persona make an appearance I'll do my fill bit from the games strat guide.
Here's the myth info for Naoto's Persona,Sukuna-Hikona:
"The child-god Sukuna Hikona was born with a body so small that he fell between his mother's divine fingers after his birth. Extremely clever despite his tiny size, he sailed to Japan in a boat made from a seed-pod, wearing a moth's skin for clothing. Sukuna-Hikona became one of the nation's guardian gods, dispensing wisdom associated with agriculture, medicine, brewing sake, and the use of hot springs. At his birth, because of his small size, he was considered worthless by the other gods."
Strangely enough even the strat guide refers to Naoto as a he, but that's problem because in the game you don't officially know otherwise until her Shadow reveals the truth, and they were doing everything they could to avoid spoilers. Still, I can't be the only person who figured out the truth, either from the game or the anime, looooooooooooooooooooooooooooooooooong before it was revealed.