Harpies are handmaidens who failed Azshara and were cursed for it. There's nothing to suggest there were ever any male ones. They mate with male night elves through violence.
It's like Satyr, they were male Highborne felcasters who followed Xavius and were transformed by the Legion through rituals as a reward. Some beings are purely one gender, particularly those related to the NE, e.g. nymphs.