I realize I should give some ideas, but wanted to leave it open. Here are some possible settings:
General/off the cuff:
Alternate history/SF- due to a population explosion, particularly among the poor, parents are able to designate children under a certain age (lets say 18) as slaves and sell them. My family has hit hard times and decided to do so- you, my new master or mistress, see a girl in my male form and decide to have some fun.
Post apocalyptic- the world has fallen. There are people with few skills or prospects who have but one recourse.... including my young character. Of course, there are also men who find any effeminate grounds for full feminization- and what is a slave going to do about it!?
Fantasy: I'm the prince of a fallen kingdom who needs, in the eyes of my captors, humiliation and a new purpose. Becoming a conquering generals slave concubine would definitely fit, but he/she doesn't like...boys...
a mage can take care of THAT little detail.
Specific setting:
Shadowrun- Collateral in the form of a young corper boy was inadvertently taken during the run and the black market is as good a place to dispose of him as any.
Free cities- a free TWINE game, for those not in the know. Archaeology owner/former male concubine to be would be what I want.
Starwars- Bounty hunter picked up the son of a bounty as well. Either himself or a crime lord could use the effeminate 'boy' and remake HER.
if any of these ideas are of interest, I'm game to discuss :)