Well, other than his references to them in the Umbrella Academy, there’s also:

“A gazelle, ‘cause they run from predators and they’re very… graceful.” — Gerard Way (in response to the question, “If you could be an animal for a day, what would you be?”)
(From here.)

Question: What is your spirit animal?
Gerard: We actually talked about this! Mikey’s is the shark and mine is the gazelle. I’ve always had a connection with the gazelle because the gazelle is constantly outrunning its predators. It gets by on speed as opposed to strength.
(From here.) 

Question: If you were an animal, what would you be?
Gerard: A gazelle.
(From here.)