Basic idea: a visual story game (RPG Maker and such are OK as long as there are faces for characters in dialogues) where despite being presented detailed story and visuals a player would NOT be able to say more or less confidently sex of any character, even if s/he paid attention to every little detail (including dialogues and actions of characters. For example, if a specific character frequently makes sexist jokes about females, then it would give a player reason to believe that said character is a male. Obviously such hints should be AVOIDED). 
The challenge is to give a player "dangerous" details without blowing up the cover.

Now, just to make my idea clearer, I will list some approaches that do NOT fit the idea :

1.Sexless characters, like story with robots or skeletons as characters. Bad, characters should have specific sex. Their sexes just should be unknown to the player.

2.Hiding faces of characters (for example, by making all of them wear masks). Bad because you could create ambigious faces rather than hiding them.

3.Text-only story. A game should be visual. 

4.Hiding details that potentially can reveal sex of a character WHEN it's possible to present them in such way that sex stays hidden. For example, if characters are married, instead of avoiding theme of marriage, like you could use phrases like  "Alex is my spouse". Or "Alex is my sibling" instead of "Alex is my sister".

5.Using "OR" in order to avoid blowing up the cover. Like "he/she", "brother/sister", "husband/wife". It makes things too easy, so please avoid this.