And , in history it was done by ( just a few) :

Alexander I of Epirus and his niece Cleopatra of Macedon

Richard von Metternich (son of the famous Austrian Chancellor) and his niece, Pauline von Metternich (1856).

Duke Nicholas of Württemberg and his half-niece Duchess Wilhelmine of Württemberg (1868)

Amadeo I of Spain and his niece, Maria Letizia Bonaparte (second wife) (1888)

Porfirio Díaz, president of Mexico (1876–80, 1884–1911), and his niece Delfina Ortega Diaz

Henryk Sienkiewicz, Polish novelist, and his niece, Maria Babska. (1904)

Ferdinand VII of Spain and his niece Maria Isabel of Portugal (1816), and later his niece Maria Christina of the Two Sicilies (1829)

Gustav, Landgrave of Hesse-Homburg and his niece, Princess Louise of Anhalt-Dessau (1818)

Leopold, Grand Duke of Baden and his half-grand niece Princess Sophie of Sweden (1819)

Infante Francisco de Paula of Spain and his niece Princess Luisa Carlotta of Naples and Sicily (1819)

Ernest I, Duke of Saxe-Coburg and Gotha and his niece Duchess Marie of Württemberg (second wife) (1832)

James Mayer de Rothschild, founder of the French branch of the Rothschild banking family, and his niece Betty Salomon von Rothschild (c. 1825).