Greg's actions towards Roy in S1 are way more reminiscent of an abusive ex than a regular rival or antagonist. Everything that is shown or implied between them is potential Ho Yay material, albeit of the fucked up and slightly murdery variety. And then...
Debatable whether it still counts as Ho Yay after Greg becomes Griselda, but in a very real sense (seemingly as far as the two of them are concerned), they were kinda gay together for six months.
And they are still very much in love with each other as of The Funeral of Roy Steel, despite Griselda's secret now being out in the open.
Ginny: I must say, darling, he's not what I expected. He's not wearing a skirt, for starters. Roy: Now, hang on, this isn't some— Lorrimer: Roy and I work together, in a professional capacity. Ginny: You can relax. I was joking.
It's never explained why Lorrimer came back to Roy's flat during that scene in the first place, so she could have a point.
Roy and Lorrimer have their whole Heterosexual Life-Partners / Like an Old Married Couple thing going, which only intensifies as the series progresses. It's almost like regularly sharing high-octane near-death experiences brings them closer together.
It's also easy to imagine them clinging together for safety or emotional support/hiding behind each other in times of great danger. In The Whispering Fog, Lorrimer feels a tight squeeze somewhere and immediately assumes it's from Roy. It would only be logical for them to hold hands, to avoid losing one another when running through the dense fog, of course...
In the same episode, a cab driver makes assumptions about their plans and/or relationship:
Lorrimer: I think he disapproved of our destination. Roy: Two gentlemen going down the docks? Never did me any harm. Lorrimer: That doesn't surprise me.
A similar exchange in Voodoo Zombies of the Snake Woman, when Roy thinks he's accidentally made a pass at Lorrimer:
Roy: Drink? Lorrimer: Roy, that was very inappropriate. Roy: What, two men going for a drink?
In A Knife at the Museum, Roy punches some waiters and steals their uniforms for disguise purposes. Only one of the uniforms comes with trousers; the other involves a skirt, which he makes Lorrimer wear because "you've got the better hips." No excuses given as to why Roy couldn't have punched two male waiters. Hmm.
Roy also persuades Lorrimer to pretend to be a woman and roleplay flirting with him for an extremely flimsy reason in Green Prison of Death.
Lorrimer pretends to be a woman again in The Hour of the Witch... and fools Roy so well, he has difficulty convincing him of his true identity. Turns out that Lorrimer in a wig is more than woman enough for Roy.
Tangentially, Roy has shown a remarkable vulnerability to the Unsettling Gender-Reveal. Apart from Lorrimer and Griselda, he also went for Hairy Annie in The Whispering Fog ("Oh, not again") and confessed a story about sleeping with someone called Gloria/Steven in KatM; see also this promotional clip and this interview with drag queen Bunny Galore, which implies a similar outcome if Roy gets what he thinks he wants.
In The Rapping on the Mirror, Lorrimer comes right out and says it:
Lorrimer: I must say, Roy, this is most unexpected. I mean, a fancy restaurant - it's like we're out on a date! Roy: *awkward fake laughter*
To return to the theme of perilous situations making close physical contact more acceptable or even necessary: Lorrimer has difficulty walking and running in the final scene of The Box of Desires — sick and weak, he's been using a wheelchair up to this point. It would only be common sense for Roy to physically support him. And maybe drag him along by the hand in the chase bits.
Back in GPoD, Roy seemed hesitant about even the slightest contact that might be construed as gay:
Lorrimer: (being dragged to his death) Take my hand! Roy: What? Lorrimer:Just do it!
Octavia and Janice! Naked girls, chickens... this kinky enough for ya?
Octavia: We hung around, went out a few times, but it was all so... so straight, you understand?
and this interview with drag queen Bunny Galore