Words are inadequate

Having just read back over it, I don't think it's The Moon shutting her out. It's Thessaly who makes the decision.

And in the end, the last time we see Wanda, with Death, she's definitely a woman.

The point (from my understanding, reading threads many years ago) was the ways in which trans women are frequently shut out from women's spaces. Gaiman is good friends with Roz Kaveney (and edited a couple of books with her) - who is a prominent trans woman in the British science fiction/publishing arena, and my memory is that he's got a lot of the "here are the bad things that happen to them" from her. Death is as close to a friendly authorial voice as we're likely to get here - and if Death sees her as a woman then as far as the Sandman universe is concerned she is one.

(I may be wrong with bits of this, it's been a good decade since I encountered this discussion last.)