There are many reasonable and ethical ways to do therapeutic work. Some therapists refuse to see both romantic partners. Other therapists (like me) do so routinely.
Your therapist is the only one that doesn’t know that he is seeing two members of a couple. That isn’t helpful. The best thing to do is for each of you to give him permission to talk to the other. Say something like, “I know that, due to confidentiality, you can’t confirm whether X is in treatment with you as well as me but we’re a couple. If he is, I want you to know that it’s okay with me for you to confirm with him that I am in treatment with you as well.” Once you each give him permission, he may want to see both of you in a session to figure out the best way to proceed.
As you well know, the LGBTQ community in any area is often small and the number of therapists who self-identify is smaller still. As you pointed out, it is inevitable that you will have complicated connections with each other. The best way to deal with it is to acknowledge it and talk about how best to handle it before you run into problematic situations.
I wish you well.