I wouldn't 100% say the little sister has romantic feelings...
From what was shown the sisters seem to have very similar tastes, so adding together the younger's thoughts and the older's actions suggests that Natsu would someday also be interested romantically in a girl like Yukiko, if that isn't exactly what mildly happened in the one-shot.
The nature of the sisters' relationship, which may be more realistic than usually depicted, and the unexplored characters just make the isolation of the story to be more painful.