I believe you are referring to Elagabalus. Elagabalus was an interesting fellow. He sometimes rode in a chariot pulled by naked women. He was extravagant in every way. There is speculation that he was transgender although I haven't found a definitive source on that. According to The Crimes Of Elagabalus by Icks (2012) Elagabalus sought out a way to medically change his genitalia, so there is speculation that this is why he dressed as a woman (he also sought to emulate the courtesans he hung out with). According to The Manly Eunuch Masculinity, Gender Ambiguity, and Christian Ideology in Late Antiquity by Kuefler (2001), his tendency to dress in women's clothing could have been a symbol of his extravagance and his connections to eastern fashion traditions. Specifically, he dressed in garments made entirely of silk, which was typically associated with women at the time, and he introduced fashion that was new to Rome (which isn't too surprising in a way, as he was of Syrian lineage). So it is possible that he wasn't exactly cross-dressing but rather dressing in a style that was considered effeminate in his specific time and place.

Another one was Caligula, he didn't always do it but he was known to sometimes. We get that along with piles of other fun gossip about him from Suetonius, who doesn't go into detail about what he means. It wasn't taken as a statement, at least as Suetonius records, but just as Caligula being a wacky dude who flouted all morals, values, and decency.