It only seems to really count as incest if it's parent/child or siblings. And among the noble houses, marrying a cousin is fairly common.
Hell Tywin Lannister's wife (Cersei, Jamie, and Tyrion's mom) was his cousin.

Starks also married their cousins. Jon's grandfather was married to a cousin and he's got older ancestors who married Uncle/Niece.
So the show seems to have taken a different approach to this, but it would have been nice to have someone ask Jon and Dany about marriage directly instead of always talking about it behind their backs. To get a real answer from Jon about whether he would have considered it.