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He has a thing for Naoto before and after finding out her gender, and he nosebleeds for the girls at the waterfall and encourages them in the swimsuit contest. He just shows that he can also find men romantically attractive, as he initially did for Naoto.
His dungeon isn't a reflection of his true feelings, but more what he's afraid of being seen as. He's not comfortable that he finds Naoto attractive when believing she's male, along with his hobbies not being considered "manly" and his shadow is what Kanji feels others see him as because of his hobbies and ambiguous sexuality.