It is probable that many former presidents engaged in the same activity.....wearing women's clothing and outrageous makeup and a wig, sometime in their lifetime.
In the past, when some boarding schools had fraternities and sororities, one day was set aside for the entire freshman class pledges to be made to wear silly outfits; most of the boys had to dress as girls and NOT try to look like a "normal" girl, but outlandishly so.
I doubt that Rudy would dress like that when he is president.There wouldn't be any reason to.