In terms of a "purely physical" level I'd still say that she would initially be attracted to women. The brain makes instinctive decisions based on the sensory info that it receives. Like: That burns. Take your hand off ! Likewise, the brain instinctively wants to reproduce.
Having Peter's memories would essentially tell her brain: Something isn't right. I need to be up-regulating testosterone instead of estrogen because according to sensory info, I have a dick.
Her brain likely believes itself to be a male brain and would act accordingly in an attempt to "fix itself". When people are born naturally, there can be no input of contradictory sensory info because the brain has yet to develop. Genes are in total control But if one were to somehow implant memories of a person of the opposite sex into a developing fetus there would definitely be an imbalance of hormones. The genes would want to code for the correct hormone, but the brain would activate pathways work against them because until Jessica's brain receives sensory info stating that she is female -- not male -- her brain instinctively believes that in order to reproduce, she would need a female mate.
Also, while there are separate hormones for certain things in males and females, dopamine, serotonin and a couple of other hormones involved in attraction are actually the same and produced in the same pathways in males and females.