The 'Umbrella Academy' has a large fan base, but creating or promoting fanfic with explicit sexual content goes against the show's intended audience in many cases. The show is more about its unique story, characters, and their relationships in a non - explicit way. So, I don't think it's appropriate to look for such fanfic.
One ethical issue is that it may objectify the characters. The characters in 'Umbrella Academy' are complex individuals with their own stories, and reducing them to just elements in a sexual fanfic can be disrespectful to the original creation. Also, if these fanfics are shared in inappropriate or non - age - appropriate places, it can expose people to content they may not be ready for.
In the Umbrella Academy comics, Vanya's character is indeed gay. This aspect of her identity is an important part of the story and character development.