There is no real evidence that he had sex with his sister. She was his heir, yes, but one can be an heir without being a lover. She was treated as the female head of household when he was a bachelor, but that also doesn't prove sexual relations.<quoted text>
I may be wrong about Caligula being married to his sister but he did have sex with her and treated her as his wife in fact leaving her his heir.
Incestuous marriages were common though in ancient history.
He was not Egyptian, and no one has said that incest wasn't done.
What made you think they'd had sex?