Not only did the half-goat Pan like sex with sheep, he also had a particular fondness for shepherds, which makes a lot of sense if you think about it.
The correlation between the goat-god Pan and our depictions of Satan with horns and hooves only dates back to the Victorian era when Neopaganism made that image popular. Earlier imaginations of Satan gave him claws, horns, and wings, not at all like playful Pan.
As the god of music Pan also gave us the panflute, or panpipes. In the image to right he is teaching Daphnis to play.
For more ancient myths that include gay people and gender variation, click here.