I doubt it's the first transsexual in a video game. Bridget from Guilty Gear is arguably transsexual. Going even further back, Flea from Chrono Trigger might be considered transsexual also. (It's not clear. He makes it a point to refer to himself as a "guy" in the English version of the game, but he seems very hung up on traditionally feminine behavior and appearance.) And Jun from Happiness! is definitely transsexual, although that game might not count since it's for the PC (rather than a console).
Anyway I wouldn't hold my breath for a favorable portrayal. Grand Theft Auto almost goes out of its way to be homophobic and sexist.
