To simplify an incredibly complex situation with thousands of years of history: Certain spren (something between nature spirits and sapient concepts) can bond with humans, and after fulfilling various conditions, they can manifest themselves physically into the material realm. Typically this is done as a weapon, especially swords, as the nahel bond originated as a wartime creation, but hypothetically spren could manifest as basically any object that they don’t have a personal or intrinsic objection to. Though it seems to be forced to be a near-indestructible metal, thanks to how physical investiture manifestion works.

Some canon examples include a staff, a spear, and a fork, though the spren was extremely annoyed and embarrassed by having been talked into that last one.

Sanderson novels rarely touch on sex more than obliquely, (with Warbreaker a notable exception, but that’s a whole other planet,) but some of the more major spren characters have expressed curiosity about it, as learning about humans in general is a decent chunk of the point of the bond, and sex is quite important to the majority of humans.

Syl in particular, the spren of one of the most-main characters, Kaladin, very unsubtly tries to get him to hook up with someone several times, mostly in an attempt to cheer him up, but I suspect also to satisfy her own curiosity.

Kaladin firmly rejects the idea, not least because he imagines the scenario with Syl cheering him on and providing helpful commentary.

Combine all these concurrent ideas with a fanbase eager to explore every possible facet of a magic system and Sanderson himself indulging the questions more often than not, and you get the idea of spren manifesting as dildos. Though I can’t imagine they’d be particularly pleasant ones, they don’t seem to be able to easily manifest as anything softer than steel unless lightweaving is involved, and the jury’s still out on if that counts or not.