It's nothing to do with the language itself, just the way that people describe the language. It just happens to be the order people usually write down the third person pronouns by convention. If there is a reason, it's that in former times, men were considered more important than women.
It's helpful to have a convention like this, because it avoids confusion. I wish there was a convention like this for listing cases -- one of the confusing things about learning German is that grammar books written for English speakers always list the cases in the order nominative, accusative, genitive and dative, but German grammar books always list them nominative, genitive, dative and accusative -- and then most Germans don't use the Latin names at all, but call them "first case", "second case", "third case" and "fourth case".
There's no reason at all why genders and cases should be listed in any particular order. But it would be very helpful if everybody could agree on one convention and stick to it.