Here's a study that finds that the inverse was actually impossible/exceedingly unlikely (homo sapien females carrying neanderthal male babies). This outside of my field, but wouldn't that mean then that it would have to be neanderthal females carrying male homo sapien's babies in order for the genomic remnants to be observable?
The study seems to suggest only babies that were themeselves male would have trouble making it to birth. So female babies being born to homo sapiens mothers would still be half-neaderthal, they just wouldn't have Y chromosomes which is what the study was tracing ancestry through.
http://www.sciencemag.org/news/2016/04/modern-human-females-...