I did a small amount of research into this. According to one theory, children at the age of 3 haven't solidified the idea of gender permanence, that they are one sex and remain that sex even if they wear different clothes, etc. A three-year old boy may understand that he is a boy, but not necessarily have internalized that he is always a boy and will remain male forever.
I'm not getting into issues of later gender identity here, obviously, there are people who never feel comfortable as males or females and feel the need to change sex later in life. This is atypical, whereas having a flexible sense of gender in early childhood is quite typical.
Most of the articles I read point to the ages between 3-6 as a time when gender identity becomes solidified. That is, at age 3 there is a sense that gender is flexible, but by age six most children have locked into a gender identity. So I think that for your 3 year old, there isn't any cause for concern at this time. His behavior is not particularly unusual, and it's too early to come to any conclusions about his sexuality or gender identity.
Anecdotally, after I read "The Trumpet of the Swan" to my son (who was about three at the time) he pretended to be a mommy swan for several weeks. He would pretend to build nests and sit on eggs, waiting for them to hatch. He's spent time caring for his sisters dolls. He loves baseball.
In other words, he's just a kid, and his games reflect what he is thinking and learning about more than anything else.