Gender is an exclusively human social concept, so no, not in the wild.
Granted, yes, there are instances in which certain pokémon might attempt to mate with a member of the human-assigned gender they wouldn’t normally be attracted to, much to their own confusion, but these examples tend to exist among tamed pokémon and seem to be artificially impressed upon individuals by their trainers. In that sense, it’s possible for a tamed pokémon to perceive themselves as a particular gender according to their trainers’ definition of it, but even then, there’s little evidence that a pokémon would fully understand what that means on their own. If anything, the confusion arises from the fact that a pokémon comes to realize that it can’t produce fertile eggs with its object of affection, not from specific gender definitions.
The Pokédex According to Bill 