@em
1. crossdressing is a VERY Japanese thing, and considered more-or-less normal.
2. Episode "The Treasure Is All Mine!" reveals he has a fiancée.
3. He is flamboyant and emotional, but that in and of itself != indication of sexuality
4. It's a kids show. Kids shows do not deal with sexuality in that manner, even in Japan.
5. The manga straight up tells you he is hetero.

"To Protect the World From Devastation /
To Unite All People Within Our Nations /
To Denounce the Evils of Truth and Love /
To Extend Our Reach to the Stars Above /
Jesse!
James!"
That amazing introduction is iconic. and amazing. They may not be supervillains but they do have a certain freedom about them to do whatever they please. That includes being whatever they'd like, when they'd like, and how they'd like. They don't need to answer to anyone really; they just pretend to.