"Gy" is pronounced identically in the words hogy and egy. And everywhere else, actually.

The explanation of what is happening inside the mouth to make this sound helped me to understand it better:

https://en.wikipedia.org/wiki/Voiced_palatal_stop

try pronouncing "gy" more like "dy" It should sound like saying Join but with a Brooklyn accent, if that helps.

Well, not exactly. The two sound in 'hogy' (how) and 'egy' (one) is the same, but in a real conversation you press the 'gy' in 'egy' a little, like in 'meggy' (sour cherry).

There are no grammatical genders in Hungarian.

no, there are no genders in Hungarian, so "egy" is used for women and men alike :-)