Perhaps Oro's in the closet, so to speak, and has taken a female form to compensate. I've seen other girly boys in anime, like Jokotsu in Inuyasha, and Haku in Naruto, who were very effeminate, and wondered if this was a 'stand in' for homosexuality. I don't know a lot about Japanese taboos when it comes to sexual orientation, but it seems like that would be a good way to indicated homosexuality without actually having any real homosexual content.