This first appeared in Comics Buyers Guide, along with an essay I wrote. It purported to prove that Rocky was, in fact, a female squirrel, and that her show was going to be called SQUIRREL GIRL, until the networks objected. It was the repressive 50's, and television wanted to show women as housewives and girlfriends, not adventurers. So Rocky had to be passed off as a boy. ABC paid a lot of money to suppress this candid paparazzi shot of Rocky out on the town with MGM star Screwy Squirrel. Subsequently, they dropped the show, and NBC picked it up, renaming it THE BULLWINKLE SHOW, to draw emphasis away from the embattled lead. The relationship with Screwy didn't work out either. He was bitter about his own lack of work, since being retired after only five cartoons, and couldn't deal with a girlfriend who was more successful. (Times being what they were)
Cartoonist Taral Wayne also, independently, took the angle that Rocky was a girl, though with a different back-story attached, in a self published mini comic.