Has this ever happened, (possibly only as a subplot in a single episode of a sitcom, with no actual physical contact)?
…Chyler Leigh and Christopher Khayman Lee shared a passionate kiss in the movie Kickboxing Academy. They are also brother and sister. You can google for the video.
Arrested Development, as part of their overarching plan to bring incest into American’s living rooms, briefly flirted with the possibility of a romance between Jason Bateman’s character and that of his real-life sister Justine.
Brother & sister Christopher and Charlotte d’Amboise were both in Broadway’s Song & Dance, and did some very unsibling-like dancing.
In the music video for ‘Say Say Say’ by Paul McCartney and Michael Jackson, LaToya Jackson plays Michael’s… female friend? There’s not much to suggest a sexual relationship (and* thank God* for that) but he gives her flowers and she seems to be there as Michael’s answer to Linda McCartney, who also appears in the video alongside her husband.
I know this is kind of the opposite of what the OP is asking for, but I remember reading once that someone suggested to Michael Madsen that he do a movie with his sister Virginia in which they would play lovers and have a sex scene. Michael was not amenable to the idea, to say the least.
The opposite of that would be Shirley MacLaine saying the the mid70s that she wouldn’t mind doing a nude scene with brother Warren Beatty because she hadn’t seen him naked since he was three and wondered what the fuss was all about.
Siblings Harry and Daisy Earles (later Dolls) appeared in “Freaks” and a hint of romance between them. E.g., Daisy’s character had a crush on Harry’s, etc. But I don’t recall anything actually happening between them.
Also kind of the opposite, Dexter and Deb onDexter are siblings, played by husband and wife Michael C. Hall and Jennifer Carpenter. (But I think they’re getting divorced.)
In the Roger Vadim segment of the 1968 omnibus film Histoires Extraordinaires/Spirits of the Dead Jane Fonda and Peter Fonda played decadent nobles with a mutual attraction.
John and Joan Cusack have a very complicated relationship in Grosse Point Blank. He’s a hit man, and she is his only employee, booking the hits, her voice constantly in his ear over the phone. It’s not made explicit, but you get the impression that she has an unrequited crush on him - who else would work for a fricken contract killer?
I vaguely remember hearing about an Iranian film years ago that cast a brother and sister as husband and wife such that the couple could touch without technically violating the censorship rules, but I don’t remember anything else about it.