It's Pat: The Movie (1994)
Frequently Asked Questions
The only ones to ever find out, aside from the characters in the SNL sketches (which can be considered non-canon), are: Pat's fiancé(e) Chris, a Japanese cook who worked with Pat, the band Ween and a bunch of people at a Ween's concert. And MAYBE Pat's mother and the doctor that delivered Pat into the world. But not us (the audience).
However, Julia Sweeney said that, after she made a mistake in one performance by doing feminine gestures, she thought that Pat was MORE LIKELY a woman. She also said that it's her opinion, and therefore, not the actual truth.