There's a species of gecko that is virtually all females (and what few males exist are infertile), but which sometimes still mate with eachother (there's no genetic transfer, it apparently can just stimulate their bodies to produce offspring or something). Ive got to wonder how those "homosexuality isn't natural!" people would react to them.
I don't know if I would necessarily frame it as them being gay. Gay/straight may not even apply to whales. They may be like bonobos and just have sex with each other in all sorts of ways and combinations. They probably do have sex for pleasure since dolphins do. For all we know, both of these whales have fucked their way across the ocean with any whale they encountered.
But for sure there is a huge amount of evidence of same-sex copulation in the animal world no matter what you want to call it.