No,you're right,it is rather unusual,at least long ago.In the Benelux there's Princess Margarita and Prince Jaime de Bourbon Parma,(about 30 years ago)son and daughter of HRH Princess Irene of the Netherlands,and in Luxemburg there are Princess Margaretha of Liechtenstein,néé of Luxembourg) and Prince Jean,(about 40 years ago)the GrandDukes siblings.