I've believe Peņafiel has mentioned Infanta Elena having relationships
My friends who live in Spain hadn't been aware of those rumors. They also hadn't seen images of Zapatero's goth daughters when they paid a visit to the Obamas.
Of course, this could be just idle gossip.
They both seem to be very discreet about their private/intimate lives.
I wish them both happiness, whichever way fits their lives