My boyfriend is 29 years old I found him sucking his thumb is that normal or gay? He was doing it when he was sleep

Adult thumb sucking. It is not homosexual. If it happens while he is asleep then there is nothing he can do about it. It probably reflects some of the same needs as you find in childhood thumb-sucking -- a way to calm yourself or feel emotionally more secure. If it has not been enough to make his teeth stick out, it is probably not harmful. I would just tell him without judging that you observed this & ask if he knew.
Normal. If he was used to suck his finger as a child and many r , may continue to do that.
This is common. As many as one guy in ten does this. It's probably genetic. Stop worrying -- and congratulations on your relationship.