Except it’s clearly not as @Gyrate says…
It’s clearly saying both Lola and the singer are glad they are men, but whereas the singer is unsure of his sexuality (the “mixed up, muddled up” bit) Lola is not. Lola is not muddled up or shook up, they are completely comfortable in their identity as a man who dresses as a woman and has sex with men. And that’s a good thing. Not only is that a progressive message for the time, I can’t think of any major pop songs with as empowering a LGBT message even today.