I wouldn't go so far as to say that they're incestuous as all. But yes, they are extremely close.
But if you've followed them throughout X-men history, they've always been really close. Pietro has just always felt that he needs to be there to protect his sister, and Wanda receives comfort from his protection. They've just grown to depend on each other since they basically had to raise themselves from an early age in a world that hated their kind.
So, I can understand the close relationship. I doubt they'd ever go any further than that, however.