People often mention her shadow version being a male but, you know, since I actually got to that part I don't think it is meant to be a male version of Naoto.
I get the whole gender issue she has - it would be hard not to - but her dungeon and the boss's speech had a lot to do with her insecurity of being judged a child rather than wanting to be a boy. The secret base was meant to be like a child's fantasy, her shadow form wore a lab coat that was far too large for it and spoke about how she gets unfairly treated as a child. The only possible reference to the gender issue was with the odd mention of the "miraculous process", or whatever they called it, that Naoto was going to undergo.
that's pretty much how it went really, i think there's another picture that more accurately describes the situation with both of them being female. only one is a loli and the other is showing Naoto's supposed large bust.
Naoto mentions that even though she is a child, and got little respect because of that, that would eventually sort itself out because she'd grow up, but because she is a woman, and the police force is highly malie-oriented, it could lead to even further prejudice. She also tells the player that she wanted to be born male because it would be much more acceptable for her hobbies, as well as the fact that being a woman doesn't suit her "ideal image" of a detective. It's at this point the player can befriend her wherein she learns to accept that her gender doesn't matter, or start a relationship with her where she even exclaims that she's now happy to be female.
it would make sense for her shadow to be male. Though it wasn't. This is just an excuse to draw her shadow screwing her.
actually i don't think it would have worked out as well as what was chosen for her. after all most of the shadows seen were manifestations of the major insecurities they had. if they had made Naoto's shadow a male then it would more likely be a manifestation of her desires. considering the consistency of the others and their shadow encounters it fits. good example would be Kanji, since he was insecure about his more feminine hobbies and such making him question himself was a major insecurity. which is why it led to his shadow being what it was.
