Did everyone forget all the romantic elements that evolved in the first game between Bayonetta and Luka? They weren't a couple by the end, but they still learned to understand each other and grew closer, with the potential for more intimacy in the future. Jeanne was mainly about returning to her sisterly role with Bayonetta, which people would ship regardless due to the rivalry (see Dante and Vergil), but it doesn't mean there was a romance there.

It was the second game that mostly dropped the Luka romance, and even then, it had the scene where Bayonetta referred to Luka by his name, which she earlier indicated she only does to guys she sees as men (i.e. not Loki). Any evidence of romance with Jeanne was in the one scene where they reunited, and extra content outside of the game, so Jeanne has less evidence of her romance between the two games compared to Luka. Heck, I'd sooner believe she loves both Jeanne and Luka than Luka be left out.

Just because a lot of people make art or interpret something doesn't mean it's actually there.

I can't see Jeanne as anything more than a sister figure.

I think most people ship them simply because its a lesbian ship, not for anything romantic about them.