I think you are overthinking just how fearful some students are of being punished, and how subtle bullying and rejection can be. Students can be quite cruel while being able to skirt being caught for anything.
That's true, but at the same time, this teenager is willing to be subject to those possible outcomes. If she was so scared she would've used the gender neutral bathroom offered to her.
If she has the guts to withstand a HS locker room despite an easier choice being available, let her. Empower her instead of the ones that are discriminating.