Also Japanese are very open to all kinda of things. Incest out there probably isn't such a big deal.

I don't really like it either so I did something creative and thought long and hard about the family line. I have come to the conclusion (well not really I made it up) that Rikku is Yuna's cousin but Brother is a step cousin. Ah, ah yes.

This is probably completely wrong, but:
I think that, Yuna's mother was Al Bhed (which is what most think) and Rikku's mother was her sister. Cid is still her father but he was married before and this is when he had Brother, so Brother is Rikku's step brother.

That's what I think anyway.