I have a theory that the Tanukis could have actually been a group of female tanuki that just wanted the girls clothing and they used their illusionary magic to confuse and startle the girls in the form of futas to be the most distracting so they had a better chance to get the clothes. The whole "we are really women inside" and "might you also be men yourselves" was obviously meant to startle and confuse the girls and could be the Tanuki girls satiring some learned modern degenerate human sexual spectrum theory. The way the tanuki said it was dripping with ridicule or mocking even though the girls were entirely confused by the whole ordeal.

Though just as easily the Tanukis could be male Tanuki just wanting to take the girls clothing for shits and giggles (which also fits) I give it at least an equal chance they are either partly or entirely female.

The whole issue with all of this which is also shown in the very same episode is how the generally lesser magical beings in the form of a tanuki were able to entirely pull one over on the girls yet the magical snow people brother and sister who wanted to steal the girls souls weren't able to do a thing. It was stated that other magical beings could be senses and while tanuki were often shown to trick humans, there should be no way such a lesser animal could have done that to the girls. Especially Aiko. It was shown earlier with the snow people Aiko was immune to snow peoples magic. Quite a few inconsistencies in this show even in the same episode.