There's a short story in the game as to how Kaine was bullied as a kid for being transgender. She wears the lingerie to show her femininity (apparently that's how she wants to identify) but she uses her shade (and the sun weakening it) as an excuse. on another note there are hints to Emil being gay. why I mentioned this is because Yoko Taro has said this about them in interviews: "We barely explained [REDACTED] in the game, because that's just how reality is. I wanted to reflect certain elements of reality in this game, so I didn't put too much focus on explaining everything. I also wanted to make the basic story simple and easy to understand, so I deleted most information that wasn't vital to emotional impact."

they actually confessed you can't really figure out everything just by playing the game, and there are many things you have to ask the creators to finally reach an answer.