Lucy shows that she can play the masculine role more successfully than the feminine, albeit within a comic structure, where all genders become muddled and violence is funny.
In episodes like this where Lucy cross-dresses, she kind of hints to vaudeville's tradition of gender play. This supports the claim that the show is inspired by vaudeville. While performances are framed as comedy, it still subtly exposes how unstable gender norms and the status quo is; it displays how easy it is to unravel the idea of "proper" femininity. Lucy's success at "wearing" masculinity undermines the strict and unrealistic beliefs of gender roles.