Does the word "female" have a pejorative connotation when applied to a woman?
Solution 1:
It can be, and it certainly comes off as such in your example.
Male/female are more often used as stand-alone nouns in detached situations like medical or in scientific studies where people are studied, effectively, as animals. When describing someone as simply male or female where we would expect man or woman, the effect is a bit dehumanizing. By taking the person out, and leaving just the gender (understandable and even desirable in some circumstances, e.g. studies), he ends up describing this woman reduced to her animalistic/biologic properties of baby incubation.
Seen a different way, consider the difference between when a policeman says "I saw a male running down the street" (interpretation: more likely criminal) versus "I saw a man running down the street" (interpretation: more likely morning jog).
Solution 2:
It's all about context. "Female" and "male" might apply to non-human animals; "woman" and "man" specify humanity. There's nothing inherently wrong or pejorative about "female" and "male," and often they're perfectly appropriate. But in some contexts, other features of a statement may lead the listener to question the choice of the less specific word.
Most people won't object to these usages:
"I'm female."
"The student identifies as female."
"I just feel more comfortable with female advisors."
In your example, other elements of the statement create a dismissive tone.
"...maybe I would have gotten some female pregnant."
"Some" is already generalizing. Had he said, "Maybe I would have gotten a woman pregnant," he would have more neutrally suggested the same possibility; by using "female" here, Rollins leads the audience to question why he didn't use the more specific and humanizing word.