Monstrous Regiment/WMG

Maladicta was
His incredibly offhand confession of his "true" gender near the end of the book was just him messing with the of the group. Think about it; at this point in the book, he was very much a male. If he had truly been a girl, he should have come out with the rest of the girls. Such behavior wouldn't be out of character for him or many of the other vampires. I can't take credit for this one. That belongs to my (again) boyfriend.
 * Too bad we didn't see him/her use that shape-shifting trick, that would settle it. Only male vampires can reform their clothes.
 * Like that a lot. Given how by the end the whole gender issue was so confused and played with to the point the details didn't matter - Polly didn't care about Maladict's confession - it would be a rather neat addition for him to (per Polly's complaint about the offer of male uniforms?) be a boy pretending to be a girl dressed as a boy, who ultimately 'reveals' himself as female. It just messes the with group, the readers, and the whole way in which gender had been discussed until that point - reminding all that it's not even that simple (and see below for a different theory).
 * He/she confesses it by saying "I'm Maladicta." Note that Carpe Jugulum includes a male vampire named Maledicta (sic) in one scene.
 * Perhaps gender presentation works differently among the Disc's vampires -- think of some other slightly-built, androgynously beautiful male-identified vampires. Perhaps Mal's persona, not being slinkily and bosomily inclined anyway, was masculine-presenting, and actual gender aside, this suited Mal's purposes in joining the army.
 * But a Maledicta is specifically named as one of the younger vampires hanging on to the deMagpyr family in Carpe Jugulum. Perhaps after seeing what way that went - and it wasn't good - she decided to desert old-tyme vampyrism and join the Army to forget?
 * No reason to assume it's the same Maledicta, as Borogravia is hundreds of miles away from Escrow. It's most likely just a common name among vampires.

Maladict is comfortably transgender.
Hence the differences between the Sweet Polly Oliver unmaskings: The lack of socks was only relevant on a physical level.
 * This troper always took Mal to be quite contentedly genderqueer.

Nuggan wasn't " ".
Just impotent. He may have had believers outside of Borogravia that accepted him as fact. Not as good as "proper" faith, but it's still belief (for example, the unnamed bard).

Nuggan is gone because the bard from The Last Hero killed him
Pretty self-explanatory. It was implied he had attacked Nuggan, and Om in Small Gods stated that physically harming a god is just as fatal as losing all their worshippers.
 * Alternately, the bard could have incorporated an accurate description of Nuggan in his saga of Cohen and the Horde, exposing him as the fussy, obnoxious, conceited little blowhard git that he was, and discrediting him in the minds of everyone outside Borogravia. As Borogravians really worship the Duchess and the formalities of the faith, not the god himself, Nuggan would've starved for worship until there was nothing -- not even a tortoise -- left of him.
 * Wait, this bard killed a god twice? That's the most badass thing ever.

Jackrum will replace the Duchess as the prayed-to entity
But he'll actually be able to do something when prayed to, like good battlefield advice. Or even ascend to Cori Celesti as the god of war.