Although Jon Snow and Daenerys Targaryen develop a relationship after working together and eventually have romantic feelings for each other, the relationship does not seem like it will be long lasting.
Even if the relationship does develop into a long term commitment for the two, it is not likely they will "freak out" if they find out they are related. There are some complicated and twisted plots to this show. Sometimes even things that the viewer thinks is real turns out to be something else entirely. For that reason, I do not think the viewer should be surprised about anything that happens in this show anymore.