I've adapted @ThomA answer with the following code (Obviously, this isn't production code):

WITH    CTE_PROMPT AS (
        SELECT  PERSON_NUMBER  
                ,'M' Gender 
        FROM    EMPLOYEES
        )  
        
SELECT  EMPLOYEES.PERSON_NUMBER
        ,SEX                
FROM    EMPLOYEES 
        LEFT OUTER JOIN CTE_PROMPT ON EMPLOYEES.PERSON_NUMBER  = CTE_PROMPT.PERSON_NUMBER
WHERE   SEX = Gender OR Gender = 'ALL'

This works. For some reason it didn't like the CTE_PROMPT query without a table.