Aside from what's been mentioned earlier, there's a significant degree of implication in their Noble Phantasm's title that gets lost in translation.
Basically, with their Noble Phantasm, "Caribbean Free Bird - Wings Abreast as if Trees with Entwined Branches [hiyoku nishite renri]", the kanji that mean "Wings Abreast" ["Hiyoku", literally "Match/Compare - Wing"] are a compound used in some idioms relating to lovers ("Hiyoku no Tori", "Birds of Matched Wings" meaning a happy married couple; "Hiyokuzuka", "Matched Wing Mound/Tomb" being a shared grave for lovers who died together). The kanji that read as "Trees with Entwined Branches" ["Renri", literally "Join/Connect - Logic/Arrangement"] can also mean "an intimate relationship" (albeit one usually applied to one between a man and a woman, but we are talking about women who cross-dressed to get into the piracy business, so...), meaning the Noble Phantasm's title could just as well be read as "Wings Abreast like an Intimate Relationship".
And for the final touch, if you drop the "as if" conjoining term ("nishite") from between the two compounds stated above, you get "Hiyokurenri", an idiom for "marital vows".
So between that, and what we have of the dialogue between them, it's very heavily implied that they're lovers, without saying it directly.