Way I read it, the reason he's calling her his sister is the way you'd call your betrothed's sister your sister-in-law. I wonder whether that's the case.
I like that this manga's characters have personality despite the outwardly kind of generic setting and set-up. Not all of them have interesting personalities (the resident holy knights come to mind) but none of them are flatly blank slates how characters in many other manga like this might.