My own limited personal experience with firearms is that women have more difficulty because they seem to be more scared of them.

An accurate shot requires a smooth trigger pull, which requires not anticipating when during that pull the gun will go off---anticipation causes tension, causes the gun to move off target.

The first shot someone makes with a gun (ever) is often not too bad; the noise and force against their hand scares them, and then they have to learn to stay calm while pulling the trigger. This seems to be somewhat easier for the men I've taught to shoot than the women, though individual differences are greater than group differences. I'm not a firearms instructor by the way; I've been involved in teaching less than a dozen people to shoot, only three of them women.