McKenney revealed he dated singer and musical theatre producer Simon Gallaher for five years when he was young.
He said, 'We did Pirates Of Penzance together…then we split up. I went on with my life and he went on with his.'
McKenny then found out through friends that his ex had begun dating his sister.
'I remember I was doing Cats and there was a newspaper banner outside the news agency, and it said, ‘Simon’s love child,’' McKenney said.
'I didn’t know anything about that but I got into my dressing room and the other guys in the show said, ‘What about Simon and Lisa?’'
McKenney continues, 'And I went, ‘Which Simon?’ They said, ‘Simon Gallaher.’ I said, ‘Lisa who?’ And they said, ‘Your sister!’
'I went, ‘What?!’ I didn’t even know they knew each other.
'They got married and have got three kids and I’m close to their kids.'
However, the veteran theatre entertainer said the relationship doesn't faze him, adding: 'If you’re happy go for it.'
McKenney also revealed that he kept the story secret from the media for the sake of the couple's children, who are now grown.
'I’m sick of not talking about it,' McKenney said.
'For the sake of them I haven’t said it, but they’re grown up now and I get on with them and they know the stories now.'
McKenney said he and Lisa weren't close with each other growing up, adding they were like 'chalk and cheese.'
'We were in the same family but cut from a completely different cloth,' he said of his sister.
'We see each other from time to time, but we don’t ring each other. There’s no animosity.'
McKenney is currently playing Dr Frank N Furter on the Melbourne leg of The Rocky Horror Show.