"If I were a woman, as I am a man, by bedfellow you would have been," admits the King to his prospective son-in-law 'Willie O' Winsbury' in the ballad of the same name.

This is the most overt declaration of same-sex desire I can think of in any traditional song.

Stewart Lee says as much, in the lengthy conversation he has about the song, which you can listen to here:
Stewart Lee talks at length about Willie O' Winsbury