I played through the whole game as female character but in the end there was a quest where you can change your gender. And so I decided to have some children with Lady Grey and did it. But to my disappointment, I had sex with her lots of times and she can't have a child. But when I try with other female npcs, it works on the first try. So I guess this is possibly a bug and you can have children with her ONLY if you're originally a male hero, sex change in the end of the game doesn't seem to work.