I don't believe he married his sister.
https://our-royal-titled-noble-and-commoner-ancestors.com/p742.htm#...
Hugh Fenne, Esq., Treasurer of the Household to King Henry VI, Escheator of Norfolk & Suffolk1,2,3,4,5,6
Last Edited 14 Jul 2013
M, #22278, d. circa 28 June 1476
Father Henry Fane b. c 1400
Mother Isabell Pershall b. c 1402
Hugh Fenne, Esq., Treasurer of the Household to King Henry VI, Escheator of Norfolk & Suffolk was born at of Sculton Burdeleys, Norfolk, England.2 He died circa 28 June 1476.
Family
Child
Margaret Fenne+2,3,4,5,6 b. 1444, d. 28 Sep 1485
Citations
[S6878] Unknown author, Ancestry of HRH Prince Charles by Gerald Paget; Plantagenet Ancestry of 17th Century Colonists, by David Faris, p. 212; Wallop Family, p. 587.
[S5] Douglas Richardson, Plantagenet Ancestry, p. 94.
[S16] Douglas Richardson, Magna Carta Ancestry, 2nd Edition, Vol. I, p. 168-169.
[S16] Douglas Richardson, Magna Carta Ancestry, 2nd Edition, Vol. II, p. 175-176.
[S4] Douglas Richardson, Royal Ancestry, Vol. I, p. 322.
[S4] Douglas Richardson, Royal Ancestry, Vol. II, p. 594.
and
http://thepeerage.com/p1424.htm#i14231
Sir Hugh Fenne1
M, #14231, d. 1476
Last Edited=7 Apr 2003
Sir Hugh Fenne was the son of Sir Hugh Fenne.2 He died in 1476.1
He held the office of Treasurer of the Household to King Henry VI.1 He lived at Braintree, Essex, EnglandG.1 He lived at Soulton Burdeleys, Norfolk, EnglandG.1
Child of Sir Hugh Fenne
Margaret Fenne+1 d. 28 Sep 1485
Citations
[S6] G.E. Cokayne; with Vicary Gibbs, H.A. Doubleday, Geoffrey H. White, Duncan Warrand and Lord Howard de Walden, editors, The Complete Peerage of England, Scotland, Ireland, Great Britain and the United Kingdom, Extant, Extinct or Dormant, new ed., 13 volumes in 14 (1910-1959; reprint in 6 volumes, Gloucester, U.K.: Alan Sutton Publishing, 2000), volume I, page 31. Hereinafter cited as The Complete Peerage.
[S1916] Tim Boyle, "re: Boyle Family," e-mail message to Darryl Roger Lundy, 16 September 2006. Hereinafter cited as "re: Boyle Family."
I believe the current parents indicate he married his sister are wrong.