Well, I succeed in removing passphrase or creating new key without passphrase by using pinentry-gtk-2 as the pinentry program.
Here is what I'veI have done:
There is no config file in ~/.gnupg.
I created a symbolic link from /usr/bin/pinentry to /usr/bin/pinentry-gtk-2
sudo ln -s /usr/bin/pinentry-gtk-2 to /usr/bin/pinentry-gtk-2
sudo ln -s /usr/bin/pinentry-gtk-2 /usr/bin/pinentry
It also worked over an SSHSSH connection with X11 forwarding.