That is interesting ... I only know one gay man who is a twin, and I do believe his brother is also gay. That one case proves nothing of course ... a reference for your statistic above would be nice if you have one, please.
There is another issue with twins that complicates this. One twin is usually dominant over the other one and while that would be irrelevant in studying some things (like handedness for example) ... it could very well be relevant here since customary sexual roles are very much tied up with submissiveness and dominance. Even in these enlightened times probably most people still expect men to be dominant and women to be submissive, on some subconscious level if not consciously.