Though Aloy's continued refusal of romantic proposals lead many to believe that she may be asexual, the developers confirmed she's queer in the Burning Shores DLC. Aloy is a genetic clone of Elisabet Sobeck, who was a queer woman in her own timeline. This suggested that Aloy is also queer, though that wasn't confirmed until the Burning Shores DLC was released.
In Burning Shores, Aloy meets Seyka, who players can romance. Though they don't have to accept Seyka's advances, there is a romantic storyline players can pursue.
Even if you choose not to accept Seyka's advances, it's still heavily implied that Aloy is queer. Players can choose to reply "I’m not ready for this” or “This is too much for me" if they choose not to pursue the romance with Seyka — both of which don't imply she's straight instead.
Aloy's queerness is something many longtime fans of the franchise are celebrating, especially after two full games without romance options for the protagonist. Though romance still seems to be far from Aloy's priority, those looking for the standard romantic subplot will be able to find it in the Burning Shores DLC.
Horizon Forbidden West and the Burning Shores DLC are now available for PS4 and PS5.