Technically, "I'm my own Grandpa" is not really incestuous because he's only his step grandfather. Anyway, there's one in Folk Songs of North America that's almost incest. The brother only asks his sisters to marry him, but they refuse, although they don't know he's their brother. It's called "Three Young Ladies," and from the maritimes. I think it might be a variant of one of Child's ballads, but I can't remember which one.