Norma was a man (did no body else see the clues?)
When walking with Vicente before being seduced, Norma's frustration with high heels is made clear, as she doesn't walk comfortably in them, declares that she hates them, and the camera lingers on them on the floor. Later on Vera/Vicente says that she still doesn't like high heels.
Similarly, after the "rape" Norma's psychiatrist tells Robert that Norma tears up her dresses and won't wear clothes, much like Vicente/Vera in the future.
Finally, Norma is averse to penetration, much like Vicente/Vera with the tigerman.
This seemed to be telling us that, like Vicente/Vera, the "Norma" we see was a man originally, and possibly a copy of Robert's daughter.
Also, this would explain Norma's mental state, the reason she shies away from her supposed father, the reason she finds sex painful, and why she kills herself.
One other thought... we never actually see an open window in Norma's hospital room and we don't see her jump. Could it be that the Norma we see is a copy of the one who had jumped out of a window. (ignore this last idea if you want, it is just a thought that went through my head even if it seems less likely)