Now, I think the theory that the 'G' in 'Kenny G' stands for 'gay' is still based on nothing more than rumor and visceral reaction to the insipid tones of his soprano saxophone. But, as the burgeoning source of all web-based knowledge (and therefore, all knowledge) Wikipedia is reporting today, in fact "[Kenny G] loves men with big balls."
You can take this a couple of ways, obviously, but as a fan of his entire collection of feathery light jazz sax, I would push the interpretation that this is in the plutonic man-crush kind of way, sort of the same way I love Tom Brady. Kenny G's got a purely asexual appreciation, bordering on envy, of guys with huge testicles. And I can't argue with that because I can't say I really feel any different.
