Sometimes in english the third person plural pronoun "they" is used as a non-gendered pronoun to indicate a single person of unknown or indeterminate gender. For example, if you have just come back from answering the doorbell, I might ask you "what did they want?" because I do not know the gender of the person who is at the door. This has been a feature of colloquial english since about the 14th century.
More recently, it can also be a personal preference for some people to be referred to as "they" if they do not feel like the masculine or feminine forms describe their experience of gender. It is generally considered polite to respect this.
In this case, I would suspect that Nergal, the Astro-Lich, is not gendered because can an Astro-Lich be said to have a gender? Who knows! They're an ancient and unknowable being, bored with this reality, who can shoot lightning from their hands!