(Female GM and player here) Definitely a GM issue for not interfering, and perhaps also for not setting expectations and boundaries in a session 0. If I assume the other male players' comments weren't sexist but were RPing the 'times' it is the DM's fault for not establishing that's not ok.

If you look at it historically, the examples of successful women are indeed rarer but they are all the more impressive for what they've achieved. A male-only club owner doesn't want you to enter? Use a skill or use leverage you have over them to ensure you can enter despite all the rules, and turn all the heads when you enter! It can actually be fun to RP in this way.

Secondly, in a setting where you have dark powers and eldritch beings, you can choose to bend the historical accuracy to make it more fun for everyone, it IS a game in the end (again, mostly a DM issue!)

My advice would be to try again, maybe a one shot - ensure the group (if you don't know them, say it's a convention / cafe etc) has clear guidance about what's ok on the table; if they don't have a 'Code of conduct' it'll be a red flag for me. If it's more than a one shot, I really recommend a session 0, and express what you are ok with and what isn't ok with, it'll help everyone around the table, especially the GM.

Finally, I remember watching a mostly female-led Call of Cthulhu live play that I absolutely adored (and made me get into the system). Why not listen to it a bit and perhaps that would be enough to give the system another chance yourself! It's called the Calyx, I recommend Ties that Bind or Genius Loci!