Surely as the song starts "Well no one told me about her" it would change the song entirely to say "No one's there" later on because it would mean that the people who failed to inform him were no longer available rather than the object of his affections. It always seemed to me to be a conversation between one of the people who didn't grass up his ex and is therefore part of the "No one" referred to in the first lines of the song.

It's not unusual to be upset if no one did say anything in these situations but obviously the follow up " Don't Shout at Me, You Wouldn't Have Listened Anyway" was not a hit

No indications of transvestism or transexuality in the lyrics or any interview I've ever seen