The second scroll in the game has a picture of the final battle of Splatoon's Hero Mode, where you see DJ Octavio and Agent 3 fighting it out. You can clearly see Agent 3 with long hair, so that playable character is a she. :>
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Also, a younger Marina can be seen in the audience, so you know the reason why she wanted to become a DJ.
I wish the story mode would tell us how marina came out and live in the surface or why some octolings are good guys.