That's QUITE the Scooby-Doo reveal, in a story where Spy Smasher seems to be taken to Hell itself to be tortured. But as to the question, "Is Death a woman?", I confess I've never really thought about it. Sandman comics of course portrayed her as a woman, but the image of the Grim Reaper, well... Skeletons, though they can be identified as male/female if you know what to look for, are pretty androgynous. In death, we all become the same, the great leveler.
I'd even say it's strange that I didn't see Death as female given that in French, la Mort is a feminine word, so any anthropomorphic turn of phrase would have used feminized grammar. I guess then skeleton bones really do wash away the notion of gender.