Hoovers and McMurray are selling sexed pullets for "Cornish Game Hens." So they really are just females in this case, although "pullet" would be much more accurate than "hen" for a bird that only lives 3 weeks.So thanks to the genetics of the game bird's contribution of large breast muscles, butchering at about 3 weeks yield a 'Cornish Game Hen'. Hen is a misnomer because they could be any sex.
I don't know about the ones sold already-butchered in the grocery stores, whether they are just females (leaving the males to be grown to a larger size) or whether they are a mix (which would save the cost of paying someone to sex the day-old chicks or sort the 3-week chicks.)