Yea, but...
1) ...they don't worry about that as much in Japan.
2) ...back in the day higher ups mated within the family to keep the blood pure.
3) ...I think they're only like half-brother and sister.
4) ...all the above.
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Elly and Fei from Xenogears. Wars, social status, death, romantic rivals, betrayal and reincarnation! And yet they still percervere and wind up together. Still one of my favorite in gaming and to this day it makes all the love plots in the FF series look like a joke.
Though its not really a true romantic relationship, Ryu and Nina from BoFV: Dragon Quarter easily had one of the most heartwrenching momemts when you think about the level of sacrifices they go through for each other. A true tear-jerker ending...
Tatsuya and Maya from Persona 2:Innocent Sin and Eternal Punishment. Granted Tatsuya technically can wind up with Lisa or Jun if the player wishes but I think its obvious that these two were meant to be... Its a shame she'll probably wind up with Katsyua instead since the two are seperated by parallel worlds.