I wouldn't worry about HIM, I'd worry about HER.
It looks like he was just doing something silly to be goofy -- just a joke for him.
I'm more curious about why she may have sent it to you. Have you ever met her before, and do you and she get along? Does she also get along with him? Then she may have just sent it to you because she thought it was funny and she thought you'd also think it was funny.
Does she get along with you, but NOT with him? Then, did she think something was weird about this and she's trying to warn you? (I don't think this is the case.)
If she doesn't get along with you, then what's she trying to do, break you guys up so she can have him back?
Him wearing a wig and a bra in a picture doesn't mean anything. Her sending you that picture and acting like it's a big deal that's the part that sounds suspicious -- about her, not him.