Oh man, you just haven't played Zelda, have you?
Zelda is Shiek. Zelda is a girl, always has and always will be. Shiek is just her disguise to help Link on his quest (and for that matter, maybe to escape Gannondorf). Shiek does look like a boy, but it's just Zelda in disguise. If it looked obvious that Shiek was a female, then that would ruin the whole story, wouldn't it?
By the way, maybe you can explain this. Somewhere in the game, one of those Shiekah stones says that Zelda thinks of herself as a tomboy. Tomboy means a girl of BOYISH BEHAVIOR. This explains the Shiekah disguise!
If you want a scary thought, though, try imagining Bowser as a tomgirl. That would never happen, but it would be scary, wouldn't it? Especially if Mario found out.
To be a Koopa, you must become a Koopa.