In the Shattering there was a dwarf that drew Anduin's attention. In some other story, there was a draenei that people have mentioned, though I haven't read it. Aerin, the dwarf, was never really depicted as more than a friend in the Shattering, though Before the Storm includes Anduin admitting he had feelings beyond friendship for her. There haven't been any other indications of his interest. As far as I can tell, Anduin is somewhere in the heteroromantic/asexual, heterosexual, bisexual, pansexual spectrum. Compared to the way that Lor'themar and Thalyssra as well as Shaw and Flynn are portrayed in stories, I'm thinking it's the former, but it could also just be the way that Golden portrays romance.