The Crying Game
Dil is really a man.
IRA terrorists Fergus (Stephen Rea) and Jude (Miranda Richardson) kidnap Jody (Forest Whitaker), an English soldier. Surprisingly, Jody forms an emotional bond with Fergus, and he shows Fergus photos of Dil, his girlfriend back home.
British commandos find the IRA hideout, and accidentally kill Jody during a rescue attempt. Fergus escapes, and makes his way to London, where he gets a job under the alias "Jimmy." He tracks down Dil, and begins a passionate love affair with her. Later, he learns to his horror that she's not a woman, but a male transvestite.
Jude finds Fergus and tries to involve him in a new IRA plot. Dil shoots and kills Jude. The grateful Fergus takes the rap for Dil, and goes to prison for Jude's murder.
In the film's final scene, Dil visits Fergus in prison. It's unclear whether they will ever be lovers again, or if they're just friends now.
Thanks John L!