C.C. and Lelouch romance... I can't really picture it xD

I dunno, but having any of his siblings alive is a threat, since they're all pretty much against Zero. Euphemia was the only one who would've lived with the secret. If Cornelia/Schneizel don't know Zero's identity, then they're gonna keep on trying to kill him. If they do know Zero is Lelouch, they'd probably tell somebody.