He could have tried to hook up with the real Death eventually after tiring of his dream death girl?
A training reaper.
I found the mass conceptions more alarming than than the necrophilia.
One of my Favourite lines from Infinity Gauntlet was something like "You are my granddaughter? Ridiculous! I worship death! Death! I would NEVER bring a life into this universe... Because I worship death. Death!"
Later he uses the Infinity Gauntlet to rewrite time and reality so that Nebula had always been his grandaughter just to piss her off.