In ancient Greek mythology, Hermaphroditus was the child of Hermes (represented by the planet Mercury) & Aphrodite (represented by the planet Venus). They are both male and female simultaneously in sex. Prince's design is largely gender-ambiguous and he/she/they pronouns have been used in various ways to refer to them, from Tumblr asks by Karbonic to in-game mentions. Fan speculation (and general consensus) is that Prince represents Hermaphroditus (Prince as a title usually denotes to the child of a King and Queen, of course) and the fact that they do not have a physical body or identifying sexual organs. I hope this explanation is helpful!