Generally used in reference to transcending the gender binary. When you've given up on finding the words to describe your gender identity, the "gender sauce" is an abstract, slang description of the ways one can experience gender.
It comes from "what's sauce for the goose is sauce for the gander," meaning that the goose and gander despite differences have shared interests. But in this case the shared interest is that of the sauce provider.
Tony: I saw James out last night with Rebecca, but it kind of looked like they were on a date or something. Weird.
Sara: Why weird?
Tony: Isn't James gay? I know he used to date Terrence.
Sara: Oh, no---not gay; he's got sauce for the goose and sauce for the gander. Always been that way.