There is definitely a lot of shame placed on masturbation in general, and then also on cross-dressing, and then also on wanting to change your sex, etc., so when you put it all together it's just one giant wallop of shame. I used to feel a tremendous amount of shame about masturbation in general, constantly trying to 'swear it off' -- and I'm not even Catholic! (ha ha.)
Not only is there the shame, but at least, if you're biologically male, there's usually an inherent anti-sex reaction to orgasm. It happens, and then the whole idea of sexual-anything becomes BLAH (cue the joke about the guy falling alseep right away). But in the case of cross-dressing, this happens -- and then you open your eyes and you've still got some women's clothes on (maybe?) or makeup (maybe?), and it seems pretty perverse.
Anyway, if you're on the track to transition, you probably are already seeing a therapist, so this is one of the things that is good to talk to them about.