Throughout the Oz books, we see that Ozma has several indicators of perhaps being gay: She never takes a boyfriend, she has a... erm... very close friendship with Dorothy, and some people claim that she is in a relationship with Dorothy in book six.
She was also a boy for the large majority of her childhood, so perhaps her transition wasn't as smooth as it appeared to be?
Ozma being lesbian is also a popular theory on the Internet — see here.
Is there anything in the text to indicate that Ozma is gay?