Make them vermin.
Check if it works.
If it does, do a hilarious stand-up routine at the next DF meeting based on the occasion.
Alternative: Would it work reproductive-wise, if you added the DOES_NOT_EXIST tag to the male counterpart? I assume no, but it still occurred as an idea. Hell, I'll check right now.
EDIT: Seems that it doesn't work. Males still spawned during worldgen. Alternative solutions should be pursued. I would suggest making them rare, along the lines of POP_RATIO 100 for females, 1 for males. I have no idea how well that works during worldgen however. I'll check that too right now.
EDIT2: Well at least with a Small test world, the species was still able to spread out. I guess it's thanks to the people generated who aren't a part of history-notion. Most of the people in Legends were female too, with a few rare males. Maybe there would be some funky change if the males were given pet tags...
EDIT3: Worldgen shows that with pet and trainable tags, the genders showed up equally again, which isn't really a surprise. There might be possibility within this if you were to add the POP_RATIO solution alongside the pet&trainable tags, so you could buy your males from traders. I'm pretty sure if there's no biome mention for the creature the entity picks up, they wouldn't show up as trade items for races which like to sell every creature there is, too. I guess I'll check that now, then I go do some real work. OH THE THINGS I DO FOR SCIENCE
Failure has been met once again. The males aren't showing up as buyable creatures during embark. They should, so I don't know what's up besides "it doesn't work like that". For now, POP_RATIO meddlings seem the best option for making an exclusive-female race. The vermin option still might work though, you should test that.
In case that doesn't work properly, or something goes horribly wrong, perhaps you could just make the males of the species completely different from the females. Like, double the max_age part so they'd outlive their counterparts, which probably maximises the number of kids they sire during worldgen. Then again, without max_age meddling, a male was able to have 10 kids during my testing so eh, it doesn't matter that much. Remarrying species don't work either, sadly. ...unless the PET thing does work but only in fort mode, and having a single male around would have it impregnating your females by spores. With a CAN_LEARN tag, it might work. Would probably help against socializing behavior which leads to coupling and marriage, assuming the PET tag wouldn't remove such a thing by itself.
Does the NO_THOUGHT tag make the creature incapable of socializing? Maybe throw in UTTERANCES too to maximise the alien nature of the males of the species too. Maaaaaan, this is going further and further down some funky fetish-fuel fantasy world brainstorming. I'm not sure if that's a good thing.