Thing is, it's not entirely unreasonable to identify as an ethnicity outside your genetic heritage. Ethnicity is entirely a social construct based mostly on skin colour and culture. If you grew up in a culture but don't have the usual skin colour or features, is it really unreasonable to identify with that group?
Whereas sex affects your skeletal structure, muscle mass, height, blood oxygenation, pain tolerance, ability to read non verbal cues, susceptibility to various illnesses, which organs you have, which gametes you produce, whether you can bear children, muscle fibre types and many other things.
Most of the cultural aspects (gender) of sex are false stereotypes. The ones that aren't are usually oppressive and often directly linked to sex differences like strength.
Thus it's always utterly meaningless to 'identify' as another sex except in terms of gender stereotypes.
I think it's utterly fine for Jessy Nelson to dress like she's from another culture, but it's also fine for people to think she's crass and silly. What's not fine is dressing up to mock other cultures. It wasn't fine for Rachel dolzeal to gain advantage by pretending to be black.
Similarly it's fine (often positive) for people to dress in ways which subvert gender stereotypes. Done in a crass way, it's fine for others to think that person a fool. It's not fine to dress up to mock women or to try to gain advantage (e.g. access women's sports or prisons).