Sky Rojo features prominent LGBTQ+ characters, notably Wendy, a lesbian protagonist depicted with agency and complexity. Her identity is integrated into her character arc without being the source of her struggles. The series also explores complex relationships with queer undertones among other characters, contributing to a nuanced portrayal within its dark narrative.

Sky Rojo features Wendy, a transsexual woman, as a main character. Her portrayal is positive, emphasizing her strength, resilience, and agency in the face of extreme adversity. The series treats her identity with dignity, framing her struggles as external to her trans identity and focusing on her fight for freedom alongside her friends.

The series features three female protagonists who frequently engage in direct physical combat against male antagonists. They collectively defeat their pimp in a brutal struggle and repeatedly use brawling and improvised weapons to overcome male henchmen throughout their escape.

The series depicts a chosen family formed by three sex workers, emphasizing solidarity and survival outside traditional family structures. It normalizes alternative relationships and actively critiques traditional gender roles and patriarchal authority.