Despite being trans myself, I really wonder if it's wrong. According to John Stuart Mill, there is good, neutral, and bad. Completely bad is something that harms others ( stealing, murder); Neutral is something that causes no harm, but no benefit (partying all the time, sleeping too much); Good is something that causes benefit (Giving to charity). I'd say being transgender is neutral.
Sometimes, I feel euphoria when I feel female, but as a person who's born male, I do sometimes feel euphoria when I doing something absolutely ballsy and manly. Then again, when I do do that, I feel fake, but nonetheless, I do feel on top of the world when I win a fight, or when I get a new "guy toy" (knives, etc) in the mail.
Of course, no one chooses to be transgender, and very few actually have pride in the fact that they're transgender. But, I do believe that transgender people do have pride in being able to recognize the fact that they're transgender and being able to surmount the obstacles that they face.
You won't believe the intense euphoria that I felt the morning after the first time I told someone that I'm transgender. I felt like I was king of the world (king sounds better than queen). It's the self realization that gets you really.