They have a relationship, but it does not seem to be sexual. It is more of a intimate love - like a relationship between kin or close friends. This is a type of relationship that is definately lost in translation from Japan to America. In Japan, you can express upmost love and affection to another of the same gender without having sexual feelings - they are your soul kin. Perhaps they DO have a sexual relationship, but from the rough translating I've done for my copy of Zero, it seems nothing more than a close kinship. This relationship does not exist in America, or many other places. It's a type of relation that only the Japanese can truly understand.

So, they MAY have a sexual relationship, but it does not seem apparent. It seems more canon as a kinship.