To be clear, he doesn't understand that she transitioned. He thinks that she's always been a lady. He'd try to explain it to someone and accidentally be the most supportive ally.
an aunt, probably: What's all this nonsense about young Bingo, then? I hear he's gotten it into his head that he's a woman. Going about in dresses and such.
Bertie: Oh, I was confused as well, but it turned out to be rather a large misunderstanding. Bingo is a woman, always has been.
Aunt: That can't be right, Bertie; he was at Eton with you, you absolute chump.
Bertie: Well, yes. Some sort of scholarship program, perhaps? I'm fuzzy on the details. But she's very definitely a woman. She told me so herself, and I daresay she would know. Bit embarrassing for all of us, really; we mistook her for a bloke for years, the poor girl. She must have been too polite to say anything about it.
Aunt: But he's gone his whole life up until last week looking like a man! If he were a woman, why would he not present himself as such?
Bertie: There was a dress code. I don't know how many times I was told off for a scruffy tie.
Aunt: I don't mean at school, you dunce. Even if - and it's still nonsense, mind you - even if I were to accept that Eton somehow permitted this ridiculous state of affairs, what about afterwards?
Bertie: Oh, I haven't the foggiest. I've long since given up on explaining the fairer sex, as well you know.
Aunt: Bertram, he was christened 'Richard'.
Bertie: Yes, bit of an odd choice on her parents' part. I mean, you don't see many girls named Richard, what? I say, do you suppose that's why she goes by 'Bingo'? If I were a lady saddled with Bingo's Christian name, I should likely choose something else too.
Aunt: Have you spoken to Jeeves about all this?
Aunt: And? What is his evaluation?
Bertie: He says that when a young lady asserts that she is, in fact, a lady, one ought to take her word for it.
Bertie: Very sensible, I thought. One can always trust Jeeves in these matters.
Bertie: Say, when's lunch?