COVID-19 uses its spike protein as a 'key' to gain entry and unlock a protein called ACE2 to enter human cells. As the ACE2 gene is on the X chromosome, all males have identical locks on their cells. If COVID-19 can pick that one and only ACE2, that male will be in trouble
Female cells use different ACE2 genes from their two different X chromosomes. This may possibly make it harder for COVID-19 to break into all female cells, as females have two different 'locks' that COVID-19 has to pick
But there's another wrinkle. After the COVID-19 'key' picks the ACE2 'lock' it essentially breaks it. The problem is that having cells that now lack ACE2 in the lung may predispose someone to the typical breathing difficulties experienced by so many currently suffering.
COVID-19's lock 'picking' action damages ACE2 so badly that it can no longer perform one of its vital functions which is preventing the build-up of fluid within each lung during the infection. XY males only have one version of the ACE2 'lock', making it easier for this to happen.
The ACE2 receptor is pretty much everywhere in the body. In the lung-type II pneumocytes, cardiac myocytes, in GI endothelial cells, and many others. This could help explain the range of symptoms we're seeing with COVID-19.
Most importantly given the ubiquity of ACE2 in the body it may be the crucial advantage that XX>XY have in COVID-19 infection mortality. Females have two cell populations for every cell type, likely using two different versions of ACE2. Males don't have this option.