I didn't catch that in the episodes I've seen (haven't seen tonight's). In Duets, the date scene at the end, he admits to using lemon juice to bleach his hair. Then indicates he has a secret, clarifies he's not gay, and the credits roll. He seems as socially akward as I am, and, well, just as corny of jokes as when I joke.
To me, it seemed like he really was let down big time when Kurt said he wasn't going to do the duet with him.
Only possible secret I saw in Rocky Horror was that he has body image issues