A delightful Christmas present (from Kim Darnell), only recently arrived: this t-shirt (which I am wearing as I type this):
Gay Penguin Rainbow Pride Flag, from the teeherivar site
gayguin is a pretty straightforwardly a portmanteau of gay penguin. The arguable etymological components of penguin seem to have nothing to do with the matter; from NOAD:
ORIGIN late 16th century (originally denoting the great auk): possibly of Welsh origin, from pen gwyn ‘white head’. [pen ‘head’, gwyn ‘white’]