She responded: "I don't know, I don't know. I've never been with a guy."
And following the get together, Caitlyn appeared to be even more confused about her sexual feelings.
Speaking to the camera, she confessed: "You're gonna date women, you're gonna date men, what are you gonna do ... I don't know!"
The Keeping Up with the Kardashians star - who has kids Kendall, Kylie, Brody, Brandon and Casey Jenner - has recently been romantically linked to her transgender pal Candis Cayne but the most recent clip suggests the couple may have fizzled out.
When she announced her transition earlier this year, she said she was "as far as I know, heterosexual," but she recently pondered whether she would feel "more feminine" if she had a boyfriend.
In a teaser for the show, she said: "You would feel more feminine if you were with a guy. I can appreciate the male form."
Meanwhile, Jenner has revealed that she thinks Kris Jenner has sabotaged her reality show.
Jenner was blasted for comments she made on her E! show I Am Cait and believes her ex-wife is to blame.
A source said: "Caitlyn had no idea that her comments would create such a furore. It's no secret that she has extremely conservative views, as she revealed during the interview with Diane Sawyer.
"Not having lived as a member of the LGBT community is definitely hurting her, and Caitlyn feels that Kris is media savvy enough to know it. Getting producers to seize on it was a no brainer."
And the insider insists it would have been no trouble for Kris to sort something out as the same production team work on reality show Keeping Up With The Kardashians.
They told RadarOnline.com: "Having the same production team involved as Keeping Up With The Kardashians only heightens Caitlyn's suspicions. She feels that everything she is working towards, is now an absolute joke.
"This was the reason sons Brandon and Brody didn't want to participate. They just had this feeling that it was going to turn into a train wreck."
On a lighter note Caitlyn Jenner also posted her first selfie on Instagram this week in a bid to urge fans to vote for her as Social Media Queen at the upcoming 2015 Teen Choice Awards.
"No #SocialMediaQueen can be crowned without posting a selfie, so here's my first! #TeenChoice," the selfie's caption reads.
Jenner is competing against pop stars Katy Perry, Taylor Swift, Nicki Minaj, Selena Gomez and Miley Cyrus for the prize.
The Teen Choice Awards will be held in LA on August 16.
- Bang, WENN