My Braixen switched gender when it evolved [duplicate]
TL;DR Most likely, you misread Fennekin's gender.
Delphox has the same 87.5% male-to-female ratio as its previous evolutions, and there's no known glitch that would cause it to change to male upon evolution. Bulbapedia keeps a heavily researched list of all known XY glitches, and none discovered have involved Pokemon gender changing on evolution.
The only Pokemon who has ever had a gender-change-related glitch is Azurill to Marill. Azurill having a 25% male ratio and Marill being 50% male meant 1/3 of all female Azurill would become male on evolution. However, this glitch only existed in Gen III-V, and was fixed in Gen VI, so it's very unlikely something similar would be happening to your Gen VI Delphox.