The original Greek Colossians 4:15, shows that Nymphas is marked as "N-ASM", and (if you select it) shows that it means "Noun — Accusative Singular Masculine".
So Nymphas was a male, at least according to the manuscripts that the KVJ and others are based on.
Compare with Romans 16:15, where both men and women are named, and their names are accordingly marked (e.g. Julia is "N-ASF").
On the other hand, some old manuscripts (e.g. the NU-Text) have the feminine form of the name, "Nympha", and "her".
The problem occurs because the accusative forms of the two names have exactly the same spelling, the only difference being in an accent mark. The oldest manuscripts didn't use accent marks, which were added many years later.