I think It may be something as simple as Red John is called Red John because of the type of women he likes. Rosalind Harker (Alicia Witt), a blind woman and former lover of Red John was also a Red Head.  Also Rosalind lets you know Red John is a man.  Or it could be Rosalind herself.  Or Rosalind could have been lying about Red John being a man.  Or Rosalind and is Van Pelts sister and together they are Red John.