Like he said, it was a mistranslation. The word Bon Kurei used was "Okama" which refers to something that is not distinguishable in gender. The word he likes to use the most, other than Okama, is Ambiguous, which pretty much translate his whole existence. When he said Gay, he didn't meant Happy or Homosexual, he meant Okama. And in fact, I don't think he is gay, simply because he transcends the barrier of gender. Okamas are in fact gods.Him and a few others you will meet later on are Okama (Gay)
From the urban dictionary:
"Okama" (or "o-kama") is Japanese slang for "gay man", particularly in reference to very effeminate gays. The word can also mean "drag queen."
It comes from the Edo-period slang for "anus" (using the word "kettle" for the butt seems to be an idea borrowed from the Portuguese.)
It is not always considered insulting, and drag performers will sometimes even use it in reference to themselves.
This. Bon is just awesome. :'DHe is an Okama.