Frank held Catherine captive, keeping her unconscious with experimental drugs, much like Yyrkoon's imprisonment of Cymoril with sleeping enchantments. Jerry, in an attempt to rescue her, and also in imitation of Elric's cruel fate, accidentally shot her in the heart with his Needle Gun. After this, Jerry swore revenge upon his brother Frank.
The reason Jerry and Catherine Cornelius are involved in an incestuous romance could be due to the fact they are both incarnations of cosmic, eternal beings. They have been lovers for eternity, in an infinite number of guises, and the subcoscious knowledge of this produces an undeniable love for each other.