You know, I can totally see that happening. Wanda is a handful. He probably needs someone to keep her attention when he needs time away. I can bet Lorna tries to ignore the fact that Pietro uses his sister like a pawn, but it probably pisses her off something fierce. As she's gotten older, they might even have had words about it? Those arguments probably all end the same way though: "she's my sister; not yours." I can safely say that, right now, Lorna is thoroughly angry at Pietro because he left and didn't tell her. Wanda went a little loopy and she had to deal with it. "You can't just LEAVE. You have to tell somebody!"
Lorna is extremely self-sufficient and doesn't like to have to rely on others if she can help it. I'm sure they've had arguments and he's probably teased her quite a bit, but, as she has worked on her issues and her self-esteem, she has found the person she wants to be. Very cool and forgiving. Extremely playful and loves to joke around. She probably had to stand up to him eventually and tell him to fuck off. Lol. As for climbing, I wouldn't be surprised if they did that together. Being a geo-kinetic means you can totally climb without safety gear and I bet he's the only one crazy enough to do that with her. She loves a challenge.