Not with each other, mind you. They were brothers, after all. (At least I think they were brothers. I mean, they're called "twins" on the Bubble Bobble Wikipedia page--and Wikipedia's never wrong, right?)
Anyway, why do I think they may have been gay? For starters, they were awfully clean-cut and doe-eyed while in human form (see Rainbow Islands and Parasol Stars)--and, as everyone knows, being both of those things means you're gay with a capital "G." (Don't even get me started on the fact that they traipsed over rainbows in the first Bubble Bobble sequel and pranced around with parasols in the second.) And then there's the preciousness of their dragon form (depicted below by deviantartist beyx):
I know what a number of you are thinking: "But weren't Bub and Bob trying to save their girlfriends in Bubble Bobble?" What, you've never heard of beards? Don't forget that this supposed "let's save our girlfriends from some evil monsters" crusade took place during the early 1980s, when people weren't as cool as they are now (for the most part) with the whole gay thing.
Who knows, maybe the folks at Taito are working feverishly and secretively to finish up Bubble Bobble 4: Fabulous 4ever, in which Bub and Bob, fully "out" and once again in human form, will sport Caesar cuts (or maybe faux hawks), tight t-shirts and similarly snug jeans.