I've just watched the film, and Paul's mother is already pregnant with his sister Alia (by Duke Leto I) when they escape from the Baron. Jessica has kept her pregnancy secret from everyone, even the Duke, and she doesn't tell Paul until just before they join the Fremen.

I have no idea where Lynch came up with that. I'm not going to read the book again just to find out for sure, but here's Wikipedia's bio entry on Alia Atreides

In the novels Alia, aka Saint Alia of the Knife (10,191 AG - 10,220 AG), was born in planet Arrakis. She was the posthumous daughter of Duke Leto Atreides and his Bene Gesserit concubine, Lady Jessica. She is the younger sister to Paul Atreides and, through their mother, a granddaughter to the wicked Baron Vladimir Harkonnen. During the events of Dune, Alia is born on the planet Arrakis in the year 10,191 A.G., eight months after her father's death.

http://en.wikipedia.org/wiki/Alia_Atreides

Here is Ghanima's Wiki bio

She is the daughter of Paul Atreides and his Fremen concubine Chani, and the twin sister to Leto Atreides II. Like her aunt Alia and her brother Leto, Ghanima is pre-born; Chani had consumed so much melange during her pregnancy that Leto and Ghanima had awakened to full, adult consciousness before birth, receiving the genetic memories of both their male and female ancestors.

Its been a long time since I've read the books, but I don't remember incest being mentioned anywhere, except perhaps obliquely as a tactic used by the Bene Gesserit in their clandestine breeding programs. For example, if the Bene Gesserit's original plan had succeeded, Paul would never have been born, and Alia would have married Harkonnen's nephew (her cousin) and their male offspring would become the Kwisatz Haderach.