Well, look at that. Some cursory googling has revealed that humans can determine the sex of fish by turning them over and examining the size and hue of their genital openings or "vents". The females have larger vents, because their vents have to be wide enough to allow the exit of eggs, which are bigger than sperm. I hope we all knew that egg cells are bigger than sperm cells, even if the folks at the arts group don't.
We're done here, I think. It's safe to conclude that female mermaids will also need a significantly wider vent to lay their eggs, than the mermen would need to emit sperm!
I think we can therefore also safely conclude that mermaids and mermen will be aware of that visual difference.
One of the questions I am most commonly asked is how to determine the sex of fish. The only positive way to determine the sex of sexually monomorphic species (males and females look similar) is by examination of the vent. This practice is commonly referred to as venting. What is the vent and where is it? The vent is the opening between the anus and the anal fin where the fish will excrete either eggs or sperm. The vent is also referred to as the genital papilla. For females the term ovipositor (egg tube) also refers to the vent.
www.fishhead.com/articles/ventsex.htm