I might be a bit late here, but they're not siblings, but rather first cousins.
Their fathers are brothers, sons of King Jaehaerys I (the one we see in the prologue).
King Viserys I however (the current king) is the son of a brother and sister, children of King Jaehaerys I.
Rhaenys, The Queen That Never Was, is also their first cousin, daughter of another son of Jaehaerys.
So:
Jaehaerys I (the king in the prologue) is the grandson of Aegon I (the first king of Westeros). He married his sister. They had four children: Aemon, Daella, Baelon and Alyssa.
Aemon married a Baratheon and had a daughter: Rhaenys, The Queen That Never Was (and the oldest of the cousins)
Daella married an Arryn and had a daughter: Aemma (the Consort Queen at the begin of the show)
Baelon and Alyssa got married and had two sons: Viserys (the current King) and Daemon (Doctor Who)
Then Viserys and Aemma got married.