If you ask kids too many questions, even if you are doing it in a kind, loving tone, it starts to feel like interrogation. (Does anyone remember the mother who posted a video of her kid sitting on a table while she knelt down and pestered and pestered him with loving question after loving question, and the kid started freaking out? She wouldn't shut up, and she wouldn't let him off the table. And she was wondering why he was freaking out.)
Even adults don't want to be questioned endlessly about personal stuff.
You are right, you do confuse him by asking him too many questions. By doing so, you are taking something that should be treated lightly and making it way too serious.
Stop asking your kid so many questions. Try limiting it to three questions, about anything. Take your cues FROM HIM, about how much he wants to talk about anything. Just keep your tone light and matter of fact.
"Oh, that's interesting. What would you like about being a girl." (Listen) "Oh, yes, that would be fun. Anything else?" (Listen. He probably won't have much more to say after this. "Yes, being a girl has some good points. I like being a girl. What's good about being a boy?" (Listen) Probably the conversation will come to a natural end after this.
No point in worrying if your son is transgender or gay. If he is, he is, But he's probably not, based on what you told us he said. If he is, you will adjust.
Stop asking so many questions and putting your anxiety on your kid! Let life be what it is! You can't control life.