Personally, I'm rooting for something disfiguring around her genital region. Perhaps due to the same incident that gave Tabuki his gnarly scars around his fingers.
Yuri seems obsessed with beauty and how that's what's most important and how the world wouldn't think her beautiful if they knew her secret.
That said, my hope that it's just a huge scar or something is half due to me hoping she really is a woman, so I can keep thinking she's hot without feeling weird about it.
Considering the director and the show, I wouldn't even bat an eyelash if it turns out she has a penis, though that would seem to be a very weird thing one would share with a childhood friend, assuming we take Yuri's words at face value when she speaks of Momoka and isn't speaking of Momoka as a different person from the perspective of actually being Momoka, but considering herself a different person due to some event in her past (sorry if that sentence is...confusing
).