A friend of my ex partner is a cross-dresser but he wasn't gay. Wasn't interested in sex with men at all. So a cross-dresser isn't necessarily gay and it can be a compulsion in its own right. It doesn't mean the person wants to become transgender either.
However, the fact your husband has been in a relationship with a transgender female, seems to be want to partake in pegging and is buying lots of (what I assume) female things online, suggests there's more going on here, than just simply cross-dressing.
He may be gay or bisexual. However, I think that the extent of his 'cross-dressing' he's very much played down. Now you're married, he's starting to let that mask slip, and you're seeing some of the extent of his compulsion. I suspect, the further the mask slips the more and more you will see, as what you are currently seeing is likely the tip of the iceberg.
You clearly aren't comfortable with what is now coming to light. What you thought, is not the truth, and your husband has hidden it from you. You didn't sign up for this, and your husband should have been 100% honest with you from the start, before marriage and definitely before children. By not doing so, he's taken away your choices from you, by withholding information.
I don't think the situation with improve. Your husband is showing you the real person he is, not the pretend one. If this isn't for you, then you need to seek legal advice, and look at ending the marriage. The danger is, if you continue in the relationship, and aren't agreeable to his sexual fetishes, then he will eventually seek that outside your marriage.