Cloud had to dress up as a lady in order to rescue you, and he definitely passed off as a nice looking woman.

You were held in by Don Corneo, someone who only let in women, for ‘auditions’ specifically. Cloud found the idea horrid, but whatever it took to get you out of there.

“This dress is so goddamn tight, and annoying.”

He muttered to himself as he strides around, looking for you. And once he did, you were dressed up too. It made his expression somewhat shift to one of awe.