I imagine this takes place during the 1st Season Finale while Lucrezia is in labor, but before the others arrive. Just Cesare thinking about his little sister.
Cesare knew most people, even his family, didn't understand his love for Lucrezia. Oh, they knew the two were close, and loved each other deeply. They just didn't understand why it was so vital to him. His love for her, and her love for him, was pure. Possibly the only pure thing in his life. He treasured – needed - that purity.
His love for his brothers, especially Juan, was tainted with jealousy – they weren't tied to the Church as he was. His love for his father was tainted by resentment. His love for his mother was real, but complicated. His love for Ursula was mixed with lust. Only his love for Lucrezia was pure. Untainted and simple. Just the love a brother would feel for a little sister. It was the closest thing he could come to imagining the love the scriptures said God felt for all people. Not that he'd ever compare himself to God, just that his love for Lucrezia was the only thing that gave him any idea of God-like love. Pure, all encompassing, and unfailing. Wanting only the best for the one loved.
The only reason that beast she'd been forced to marry was still alive was that he couldn't bear the look in her eyes when she realized her 'husband's' blood was on his hands. And she was far too smart not to realize he'd been the one to carry out, or at least order, the death.
But he was glad she'd at least found some happiness during that time, even if it wasn't with her husband; even if many would condemn her act. He couldn't – not when he'd done so much worse. And she was Lucrezia; would always be Lucrezia, no matter what she'd done. And he would always love her.