Billie Jean King was the first female tennis player ever to come out as gay, but she wasn't the first ever gay female tennis player. That - to the best of anyone's knowledge - was Helen Jacobs. Jacobs was an exceptional player during the 1930s, winning the US Open four times and Wimbledon once over the course of the decade.
She also lived a colorful life away from the court; during the Second World War (after the end of her tennis career) she was a commander in the U.S. Navy Intelligence, becoming one of five women who would achieve the rank. Although she never came out as gay - an admission of that kind from a woman would have been scandalous in the 1930s and 40s - she spent most of the 1930s in a relationship with wealthy American aristocrat Henrietta Bingham, who was the daughter the US Ambassador to Britain.