Incest means sexual intercourse between people who are closely related. Usually, this means members of the same family. In many societies, it is forbidden by law and religion. Which relatives it is forbidden to have sex with depends on the law, religion and culture.
Incest is now regarded as bad for the genetic health of the offspring, and it is often forbidden by present-day religions and laws.[1][2] The fundamental reason has to do with genetics. Incestual societies will have a high rate of birth defects, significant enough for it to be noticed even when little was known about the cause. To some extent this is a surmise, because ancient societies had no knowledge of genetics as such. But they must have noticed some connection between birth defects and the relationship between parents. We think this because widespread bans on closely related persons marrying came long before the understanding of modern genetics.
In history (as far as we know it) there were societies which allowed incestual marriages and individual acts of incest. Famously, the ancient Egyptian royal family practised incest, though not exclusively. It is thought that the frequency of early non-trauma deaths (such as Tutankhamun) was due to the effect of incest. We do know that incest was practised in their royal family. Cleopatra was married to her brothers, Ptolemy XIII and Ptolemy XIV. Roman records show that marriages between close siblings were common in Ancient Egypt.[3][4]
So, if pregnancy is a risk, there is a reason based on health. Children that result from incest between blood relatives are more likely to have birth defects.