Actually, the Hunter x Hunter wiki addresses this, and is quite accurate in its assessment, though the references cite the wrong volumes (but correct chapters).
There is considerable confusion about Alluka's gender. Two of Alluka's brothers, Illumi and Milluki, refer to Alluka as their brother. But Killua, the closest brother of Alluka, specifically states that Alluka is a "girl" and refers to Alluka as his sister multiple times. This inconsistency can be explained by Killua's intimate and understanding bond with Alluka, hence he would know and care that Alluka is mentally female, versus Illumi's cold and dehumanizing attitude towards Alluka. While Alluka is most likely biologically male, Killua's interactions show that Alluka's psyche may be female.
Everyone (except Killua) addresses Alluka by her biological gender, which appears to be male. While she is quite small, she shows no female development.
However, she is very sensitive, gentle, and reserved, and has a very feminine side. Being that Killua is the only one who dares to actually interact with Alluka as a person, he would be the best one to understand that she probably is more feminine inside.
This does seem a bit odd to me; even if someone I knew were closer to "she" in his head, unless they specifically asked, I'd probably still say "he". But perhaps either Alluka did ask this of Killua, or Killua just took it upon himself because he knew Alluka so well.
Unfortunately, since it's never explicitly stated, this is somewhat assumption, but realistically it's the only explanation that makes sense since Killua is the only one to refer to Alluka as female.