The reason it was all men was because the mentality @ the time was "women don't do theater" and actors were looked upon just slightly better than prostitutes.
It is interesting though that when they needed to kill someone in the play, they'd go to the local prison, get a condemned inmate, and execute them on the stage as part of the play.
That has to be an urban legend. Actors were very proud of their death scenes, which they performed over and over again.