The dragon kings had wed brother to sister, but they were the blood of Game of Thrones Kings landing shirt, hoodie, sweater and v-neck t-shirt, and like their dragons the Targaryens answered to neither gods nor men. This would mean that an unconsummated marriage can end in divorce, but in the case of Robb and Jeyne (Talisa in the series), the marriage was consummated. Also, for the marriage to be annulled, they have to go to King's Landing, I think, which is impossible. There's also the third thing - Robb followed the Old Gods, the wedding must have taken place in sight of the Old Gods (in front of a weirwood tree) - and I don't think such a marriage can be set aside.
