The main character is born female and still is one (unless you want to view that differently, that's up to you). The story is set in a world where superpowers exist and the main character just so happens to have one: being able to switch between male and female genitalia (or at least, that's how the power is supposed to work if you can control it properly). She just has trouble changing that back now that she has a cock. So she technically has a vagina as well, it's just not show in this game. This is all just minor backstory to her character though and it isn't often mentioned. If you want to imagine another reason for her having a penis, feel free to do so. Hope this makes things a bit clearer for you.
Furthermore, this game only contains futa-on-female content. No futa-on-male or male-on-futa.