Well yes in modern day world it is gross but GOT it happens (although still taboo at Westeros).
Dany's father & mother are actually brother and sister. They do this to maintain the purity of their blood line. So technically Jon is born of a non-incestuous marriage. If they marry, they're also solidifying the Targaryen blood line which I expect to happen and especially if Dany is pregnant. But I'm mostly curious as to how Jon will take this. He's raised a Stark and probably doesn't agree to incest. But if Dany is pregnant, I can see Jon saying yes to the marriage because that's how he is. Family to him is everything.
Btw, I'm not a fan of any incest on this show but I can see this happening so that the end will be both Jon/Dany ruling the 7 Kingdoms. I do prefer a different ending but we'll see. 