In Code Geass Lelouch admits that his half-sister Euphemia was the closest thing he had to a first love and his relationship with full-sister Nunnally is considered suspicious both by people in the actual show and by fans of the series. However, it should be noted that Lelouch is a Celibate Hero who has shown little interest in sex, despite spending plenty of time around Kallen and C.C, and a years long friendship with Milly Ashford, who not only practically screams "sexual deviant", but repeatedly drops hints that she wants to get into Lelouch's pants - though it seems to come out more easily when Milly is wearing a dress - AND she has the biggest bust size in the series, even bigger than Lelouch's mother's.
It depends on how suspicious an outlook on the characters you have, in the case of Euphie, at least. It's not much of a stretch to imagine that the other princes and princesses were the only kids their age that the children of Charles Brittannia regularly saw while growing up. And Lelouch last saw Euphie at age 10, roughly. It's not too different from a little girl saying she wants to marry her daddy.
For someone who 'loathes' Lelouch eventually, Nunnally is rather devastated by his death. Their perhaps excessively feverish declarations of love as he expires are suspicious as well. And not only that, but she doesn't hate Zero, either... at least until she learns that he mind controlled Euphemia.
One could argue that it's because when she touched him in his dying moments, the memories he had of the reasons he did everything flashed through her mind, hence her devastation.
When everything ends and Nunnally knows what really occurred, she states that the only thing she wanted was to stay with him. Yes, she'd rather share with him the life of a fallen princess in a fascist empire than being the universally loved Empress in a peaceful world.
Considering that Lelouch never let her know about any of that racism or violence, barely even noticed Japan be invaded, and never wanted for anything... This is like saying that you wouldn't kill your father for riches and power. God, I really, really hope she never wanted Lelouch to die and make her the ruler of a nation. That would be evil. Not to mention it would create a world of lies, the same world of lies that Lelouch hated, resented, and wanted to destroy in the first episode.
One could also add in the fact that, when Nunnally reunites with Euphie, one of the things they discuss is the argument they had over which one of them would eventually marry Lelouch. In fact, even after meeting again for the first time in seven years, Nunnally can barely have a cup of tea with Euphie before bringing this up and then seriously (and worriedly) asking if Euphie was still interested in Lelouch.
On the one hand, this is tempered by Nunnally seeming pretty happy when she mistook C.C. to be Lelouch's girlfriend. She seemed a bit put off when C.C. made it seem like they were engaged, but that can still be escused by the suddenness. On the other hand, Nunnally also got sick and had Lelouch skip school to take care of her, and as he was tucking her in suggested that her getting sick was her body's way of getting Lelouch to pay some attention to her since he had been so busy the last couple weeks (what with his secret rebellion and all).
While generally silly all-around, Nunnally In Wonderland keeps characterization pretty consistent with canon and when C.C. (as the Cheshire Cat naturally) teasingly warns Nunnally about Lelouch's siscon tendencies, she not only brushes them off completely but says that unless she finds someone she considers better than Lelouch she just wouldn't get married. Even C.C. is taken aback, and considering that Lelouch as the narrator hooked up Alice (Nunnally) with the White Knight (Suzaku) then Nunnally might just be an even bigger brocon than Lulu is a siscon...
Although they are not related by blood, Rolo is VERY openly infatuated with his big brother, which Lelouch rather sadisticallytakes advantage of to deceive Rolo into joining his side. He calls it "playing a 'game of brothers'".
Rolo then proceeds to manipulate Lelouch, and abuses his grief over Nunnally becoming Area 11's Viceroy. And kills Shirley for wanting to reunite Lelouch and Nunnally. And plans to kill Nunnally.
It's revealed that the Emperor got it on with hundreds of mistresses, and Lelouch has Half-Sisters and Half-Brothers all over the world. Every member of royalty who isn't the Emperor himself or the women who gave birth to them are all related to each other through the Emperor's blood alone. Despite all sharing the same father, it's not really frowned upon for the royal bloodline to hook up because of this.
Actually, it just says he had a lot of kids, there is no evidence other royals are part of the family. Also, nobody in the royal family has hooked up like that.
Lulu isn't the only member of their big happy family whose brother-sister scenes have a weirdly incestuous subtext: Schneizel openly flirts with Cornelia, and Cornelia hovers over Euphie in much the same way Lelouch hovers over Nunnally. Then there's Cornelia's lightly touching Euphemia.
There's some of this between Schneizel and his younger brother Lelouch as well. For example, Schneizel refers to Lelouch as the man he loves and fears the most.
It should be pointed out that Schneizel is trying to convince those people to capture or kill Lelouch. In opposition to the other examples given in this bullet point, this most certainly does not have any sexual, or even friendly, subtext.
Bear in mind that this is the Britannian royal family we're talking about here, and historically incest has been common among royalty. To take one extreme: Egyptian (and after Alexander the Great, Macedonian) pharaohs were expected to marry their sisters. The numerous members being insane could easily be due to the family having massive genetic disorders like the Habsburg family.
What's more, genetic sexual attraction is a real issue. Charles has had tons of children by tons of different women— so many that not all of them could be kids together. So these two related adults just come together in this very sexual anime, and genetic sexual attraction does the rest.
An unfortunate output eventually, in two words: Habsburg Syndrome.
Played with in picture dramas. In 7.19 quite a portion of it relates to Nunnally and Lelouch, and Rivalz even refers to their love as a "questionable sibling love". Another parodies it in Shirley's dream sequence where Nunnally, along with everyoneelse, wants to marry Lelouch and says they're Not Blood Related.
The OVA of Nunnally of Wonderland had a moment in which Nunnally, playing Alice, turning small and having Lelouch commenting that he would put her inside his pocket and protect her from the world.
Not to mention just about every other moment in Lelouch's side commentary about Nunnally.
When Lelouch hypnotized Nunnally, he told her that he loved her. What's important though is that he explicitly said "Aishiteru," which is a rather dramatic Japanese way of expressing love.
Nunnally used "aishite imasu", which is even more intense, when he died.
Though it should be pointed out that this is because the Japanese are very reserved about such things, and "ai" doesn't suggest romance any more, if not less so, than "love" does in English. There are much less powerful words that you can say to a lover that are more commonly used. This is more the sort of thing you tell someone dear to you before you or they die. Which is exactly why it's being used.
Shirley has some innocence subtext with her father. After Shirley's father died she has a flashback to when she was younger where she tells her father that when she grows up she'll become his wife.