Well let's not forget that the Borgia family were originally from Spain before they moved to Italy, and according to history, after the downfall of the family, Cesare was imprisoned in Spain, after he escaped imprisonment he lived the last few years of his life in Spain. So it's only natural for him to be buried in Spain, considering his Spanish heritage and Spain was the last place where he spent his last years in. Although it is sad that he was not buried with Lucrezia
but at least he is buried in the same church as their father Rodrigo in Spain.
Traditionally married couples are suppose to be buried next to each other, and after Lu's third marriage to Alfonso d'Este the duke of Ferrara, she became part of the Este family, so when she died she was buried next to her husband and several other members of the Este family in Italy.
I still need to read Puzo's novel again to refresh my memory, there's a lot in the book that I have forgotten, but I vaguely remember in the novel, Lu inherited some of Cesare's possessions after his death, including his sword, which was very significant. Normally the widowed spouse would inherit the possessions and assets of their deceased husband or wife, but in Puzo's novel, Lu inherited Cesare's possessions, proving that while the siblings were both legally married to other people at the time, but emotionally and spiritually, the siblings loved each other like they were each other's true spouses
And that's how Cesare & Lu's incestuous relationship is generally portrayed in popular culture, in most if not all fictional adaptations about the Borgia family, Cesare & Lu's relationship is always portrayed as incestuous. And while they're both legally married to other people on paper only, but deep down emotionally and spiritually, Cesare & Lu loved each other like husband and wife, they were each other's real spouses