I can only think of four reasons they might be doing this. They are either mentally ill, indulging in sexual kinks, trying to pull a fast one to get access to vulnerable women, or pulling a fast one to get a cushy time in a womens prison.
So they should either be recieving treatment in a men's prison for their mental illness, or stop being indulged and told to suck it up as they did the crime and got the time.
They can identify as they like, but should get no special treatment for it. Just like a toddler throwing a tantrum, nothing should be gained by this behaviour.
And as for the claim they are vulnerable in a men's prsion, well so are lots of prisoners, not least ex police officers and sex offenders, and the prison service can keep them safe. And if they cannot keep them safe its the service needs to changed not the housing of men in women's spaces.