I'm actually pretty sure that Grell is canonically a transgender person even tho she hasn't got the operation yet (they live in the victiorian era). She said that in the manga "The thing that i want the most is a sex change" Even in the musical she corrects someone that referred to her by saying "him". So at least in OUR culture She is supposed to be transgender
…still wouldn’t change the fact that Grell is an okama; a homosexual drag queen, no matter in which culture you live. He is frustrated that he’s not a woman, true.
But: this is considered to be humourous in Japan. Everyone there makes fun of Grell, even his creator.
And again: Grell’s confessional is written as a joke. I asked my Japanese friend about it a few minutes ago. Grell is an effeminate gay comic character, not to be taken seriously.
What “our” culture thinks about Grell doesn’t matter because Grell was written by a person who isn’t from westen culture. Fact is fact. And fact is that Grell is a parody figure you can interpret the way you want. Nuff said.