Surprise role-reversal

I agree with commenters that you're probably reading too much into this. Not every line of dialogue is pregnant with some deeply-layered meaning. Sometimes a sociopathic murder and a line of superficial wordplay is... just a cigar.

But, if you are desperate to find something here, I suppose role-reversal works in a pinch.

SPOILER WARNING: The following is full of spoilers for both Kill Bill Vol 1 & Kill Bill Vol 2, and the spoiler markup is too unwieldy to be used in every instance. So, no spoilers will be hidden.

Role-reversal is common in both Kill Bill movies. Here are just some examples I can think of offhand; there are probably more I can't remember:

• Buck rapes Uma while she's in a coma, and when she awakens unexpectedly, she deals some massive brain damage to him in self-defense. Wikipedia says she kills him, but I've always thought that the movie is ambiguous as to whether he dies or is rendered a vegetable, especially since the latter is perhaps better poetic justice.
• Vernita Green tries to impose a reversal on Uma, by presenting herself as a mom like Uma instead of a callous murderer, but Uma kills her anyway, despite the obvious truth of Vernita's being a mother.
• Uma tries to sneak up on Budd, but he is forewarned, and turns her ambush back on her.
• Boss Tanaka chastises O-Ren because he believes he has the loyalty of the clan and holds power over her, but she immediately executes him in front of all his lieutenants, revealing that she had more power over the clan than he thought he had.
• Bill likely thought he was the best student Pai Mei ever had -- certainly the best of the Deadly Viper Assassination Squad, and he's unquestionably more devoted to the martial arts than his latest hottie girlfriend, but Uma reveals that she is the only person to whom Pai Mei taught the Five-Point-Palm Exploding Heart Technique, which clearly establishes that Pai Mei liked her best of all his students, and I'd argue this was only possible because he also believed her to be the best -- perhaps not the best fighter, but his best student.
• And, lest we forget: Bill tries to kill Uma, but she ultimately kills him instead.
• Pretty significantly, Bill tries to impose a role-reversal on Uma by revealing that their daughter is alive, thus turning Uma into the external aggressor breaking up a happy home. He even springs this on Uma in a way that compels her to immediately play along so as to maintain the illusion for the child.

This is not the theme you're looking for

Most of the reversals I've outlined are not particularly sophisticated (some may not even be true role-reversal; I may have misapplied). Most of these are literally extensions of the violent combat, and violet combat is boring if the protagonist starts out with an advantage and maintains that advantage consistently until achieving victory. Put another way: they don't make movies about "things just working out fine."

A lot of the drama of the movies comes from the fluctuating fortunes of the protagonist -- and I'm talking about virtually all movies, not just these two movies. So, calling this a theme is kind of like saying that "drama" is a theme, which is essentially to say that "making a movie interesting as opposed to boring" is a theme. And Kill Bill doesn't depend on this one line of dialogue from Gogo for its drama.

A big part of what makes Kill Bill exciting is that the combatants are clever, and often succeed in out-clevering each other in ways the audience is not expecting. A big part of what makes Kill Bill satisfying is that Uma ultimately beats everyone, whether or not they managed to out-clever her at the start. She is smarter than some, and tough enough to survive the others, and determined enough to fight on until she wins through some combination of smarts, skill, and strength.

The scene with Gogo is clearly designed to demonstrate to viewers that she's a wantonly violent and capricious murderer, which is a very scary thing for a skilled martial artist to be.

One thing that Westerns have in common with MA films is that the very best combatants are typically smart and deliberate, i.e. they exercise restraint. This is a hugely important fact, because their combat prowess potentially gives them incredible power over everyone around them. Without their own sense of restraint, each would be a law unto themselves, taking anything they want, killing or maiming anyone who dares to oppose them, not amenable to reason or entreaty.

So when you take that same set of skills, that same deadly power, and put it in the hands of a "flighty young girl" (which is how Gogo initially presents) who has no compunction about butchering someone merely for flirting with her wrong, it registers with the audience that she's not just a bad guy like Darth Vader. It shows that merely being in her vicinity is hazardous to one's health, like a hurricane or a plague victim. It makes everyone want to flee the room -- but politely, for fear of drawing any attention to themselves.

And while that is a trope that occurs in fiction, I think it's not dependent on that specific line of dialogue. It would still fit just as well even if she said nothing, or just laughed, or had stated flatly, "I'm killing you because killing you now is less boring than not killing you."

It's still a good line, even if it's not a swirling vortex of hidden meaning. Meat Trademark has it exactly:

He wanted to fuck (penetrate) her. She stabs (penetrates) him.