Penile skin absorbs better than normal skin but whether it absorbs enough, who knows? Over time, under the right circumstances (i.e. enough estrogen), vaginal lining may turn mucosal although this is debatable. Then, progesterone is absorbed even better but, based on the studies I've come across, the absorption depends on the individual, the base used, if pessary vs pill, etc. Vaginal can also be messy whereas taking it rectally is much less and may, in some instances, lead to even better bioavailability because of perhaps less leakage. Vaginal/rectal, you are also less likely to feel sedative/tiredness effects than oral. Trial and error, discuss options with your doctor.
I personally prefer taking it orally because of the good feelings, the high it gives me.