the person who fired me told me that had I been female I would have been treated differently. Is that any sort of violation?

The statement itself is not a violation of any law. However, that statement could be a very important piece of evidence to show that you terminated unlawful due to your sex.  If you were subject to disparate treatment, i.e. you were terminated under circumstances where a female would not have been, then you have a claim for wrongful discharge.