Should have mentioned this right away:
Although there is no yuri in Fate/Zero (only my opinion) there is a (kinda) openly bisexual character in the PSP game Fate/Extra which is yet another addition to the 'Fate' franchise.
The saber class servant the player can pick will be come attracted to the protagonist (provided the right dislodge choices are made) regardless of the protagonists gender (you can choose at the start).
I should mention that this saber is different to the saber of Fate/Stay Night although she looks nearly identical.
Aksys Games has localized the game in North America so this game is available to buy in English, should that be your language of preference, or import if you live elsewhere as the PSP is not region locked.