Let's see. Persona 3's babe hunt ends with the guys using classic trans-panic when they hit on a trans woman in the game.
Persona 2 liked to play trans characters for "laughs" as well.
http://25.media.tumblr.com/tumblr_mb8cdzUuDu1rtpj2lo1_500.png
Also, I was looking up the Sumaru Genie, and it seems up for debate on whether that character is trans or intersex.
Persona 4 has Naoto.
Also, don't disregard Erica. She had an arc in the background with Toby the whole time. She was given the nightmares, as well as Toby saying "Something seemed off" despite the fact he was a virgin prior to sleeping with her.