Well.. actually...
Vaan isn't gay, but I know why you might think so, because he was supposed to be very feminine. During production, Vaan wasn't the lead "main" character, he was actually just another party member you meet in Rabanastre. The main character was originally Basche, who meets Vaan when he breaks out of prison and goes to the city.
The motion actor that they hired for Vaan made him look more masculine than feminine. His movements in attacking, walking, stances -- they were just very masculine. Instead of hiring another motion actor, they decided to keep the scenes and turn Vaan into a sort of rough-around-the-edges male teenager -- Instead of the soft-spoken, caring, innocent boy he was originally designed to be.
You could say, that whatever was thrown away from Vaan's initial design was recycled and used for his brother instead, Reks.
Edit: About Vaan & Penelo...
In the japanese version it was already stated that they were kind of boyfriend/girlfriend. Both in the book manual and ingame. When Vaan loses her in the Bhujerban mines, Larsa asks "Who is Penelo?", to which Vaan replied "My girlfriend". In the english version, this was changed to "She's my.... she's my friend".
Their relationship at first was implied to be a not-so-serious one. Just like how children will have a boyfriend/girlfriend even though they're not aware what a real relationship is. In Revenant Wings it's implied that they've started to take eachother seriously, which is why the game put in characters to make them jealous of eachother's new friends.
Example; Penelo dancing for Llyud and Vaan doesn't like it... highlight spoiler:or when Vaan goes missing and Penelo feels horrible for not telling him how she really feels before she'd never see him again.