First Lady is not an actual legal or formal role. Officially, there is no such thing as a First Lady. It is just a term invented by the press (a brief internet search could probably bring up the precise origin if you're interested, I would guess it probably goes back to the Roosevelts) to describe how the President's wife often takes on a ceremonial role EVEN THOUGH she actually has no official role whatsoever. So what would the press call the husband of a female president? Anything they liked, really. But "First Gentleman" seems as likely as anything.