Some women like penetration. Others do not. Because your girlfriend wants you to penetrate her--either with your fingers, a dildo or any other object, does not mean that she would rather have a penis. It means she want YOU to penetrate her.
Sexuality is a tricky thing. In a culture that would like to paint things black and white, sexual desires can be many shades of gray. Sexual fantasy and desire, while related, is not the same as sexual orientation.
Remember the key to a good sex life is good communication with your partner. You should appreciate the fact that she is asking you to do things to her that will please her. Be sure to let her know what your desires are too. And don't be afraid to try new things. You never know what is going to get you off.