When you ask "What are you?" (Which is already suspicious that the game would even give you that option since Nate would already know what an Assaultron is) she specifically replies with "I'm a woman, baby, can't you tell?"
You can then validate her, deny her, the obligatory useless dialogue option or the speech check to make her explain what she meant.
Her responses pretty much emphasize how much your opinion doesn't really matter since you can't tell her what she is.
If you pass the speech check she gives a little backstory on how she got to that point, basically saying she concluded she had no reason to work for mankind when she could work for herself.
But it doesn't explain why she is so adamant about identifying as a woman and not just a genderless robot, even Ada, who is also sentient, has no problem saying she is an assaultron at her core when asked literally the same thing.
Also, during dialogue Kleo doesn't talk in a fully objective manner as you would expect a military robot to, she (very) often inserts innuendo and humour to make herself sound more human, though she still ever so often uses big/formal words that a person would avoid in casual dialogue. Its almost like she is trying to fit in even in her speech.
She also often talks about having and selling Very. Big. Guns. I mean, maybe I'm reading this wrong, but when this is actually dialogue:
I get the feeling maybe they're not just talking bullets. But hey, it's current year, women with very big guns are totally cool on my book.
Any way that was just my little game theory, what do you think?