You will never get a flow that is exactly orthogonal to the gradient. However, you will get a flow that is not parallel to the gradient (i.e., it has a component that is orthogonal to the gradient) if you apply a temperature gradient that is not along one of the principal directions. In the case of graphene, apply a gradient that is not along the sheets and not perpendicular to the sheets, i.e., taking ##\vec n## to be the direction perpendicular to the sheets and ##\vec t## to be tangent to the sheets, you apply a gradient ##\nabla T = T^t \vec t + T^n \vec n##. Conductivity is a linear map from a temperature gradient to a heat flux density and therefore
$$
\vec J = -K(\nabla T) = - K(T^t \vec t + T^n \vec n) = - T^t K(\vec t) - T^n K(\vec n).
$$
The directions ##\vec t## and ##\vec n## are in the principal directions of the material so ##K(\vec t) = K^t \vec t## and ##K(\vec n) = K^n\vec n##, where ##K^t## and ##K^n## are material constants. It follows that
##
\vec J = - T^t K^t \vec t - T^n K^n \vec n,
##
which is not parallel to ##\vec J## unless ##K^t = K^n## or ##\nabla T## is along one of the principal directions. In your example, you took ##\nabla T## to be in a principal direction.
Edit: So, the underlying reason that the heat flow is not parallel to the temperature gradient is that it is much easier for the temperature gradient to drive a flow in a direction along the sheets as compared to driving a flow between the sheets.