On Lelouch Relationship with Cornelia and Euphy

Cornelia, no. There was nothing in the show to even suggest any affection between them.

He did liked Euphy when he was a child, but that was childish affection. Later they became adults and settled on the path and preferences that would not work together. 

If anything Euphy did enjoy playing spoiled and whimsical princess with Suzaku, who equally enjoys playing a knight errant for a lady and just does whatever she wants. 

Euphy cannot have the same kind of relationship with Lelouch, because Lelouch is more willful. With Lelouch she would have to play support and an unspoiled maiden that does not need much.