In Yosuga no Sora, the twin visited another town than Okukozome in the end (in the manga and the game, temporarily, and in the anime, probably for good). In the manga and the game, the town is said to be in "Northern Europe" and Sora was speaking the Estonian language (according to Google Translate) there.
What I'm concerned about is that in some countries incest is illegal (in Japan, it is not illegal, albeit a cultural taboo). Assuming they visited a region where it is legal, where might they have headed in the end?