That’s some next level relational intrigue that I definitely never considered when sketching out the romance paths! While there are no true poly routes in IKH, I hope by the time we’re finished we’ll be able to come up with a satisfying path that makes sense for your MC.
Romance will probably be one of the last things I really refine, so I’m thinking out loud here, but given the world and characters, pursuing both characters wouldn’t work out quite the way your MC might hope. When I said Connor wouldn’t be too happy I meant Nora (my bad, sorry, though Connor is pretty protecting of his sister so he might be mad too if he’s alive)…Nora’s a pretty pious and traditional sort of woman who believes marriages should be monogamous. She’s not totally naive though and knows that often in the case of loveless arranged marriages, royals take on lovers on the side, and she is somewhat resigned to this being a possibility. But that doesn’t mean she would like it.
More likely, she would be either cold or heartbroken with an unfaithful spouse (depending on whether he lead her on or not), though she would remain faithful herself. Her opinion of you would definitely collapse. That said, she is a pretty loyal individual and takes marriage seriously, so even if she’s pretty mad at you it would take a lot for her to do something to betray you. She’s all in, even if you’re not, basically.
Evangeline is a different matter. While not especially pious or traditional, she does have a pretty strong ambitious streak and would never be fully satisfied with another woman holding more power than she. I don’t know if she would ever stop seeing Nora as a threat unless Nora was somehow also well under Evangeline’s thumb.
IKH takes strong inspirational from real historical norms (insofar as my budding knowledge on the topic allows) and I want the romance endings to feel true to the times. I have a vague recollection of a similar-ish scenario where the wife and the mistress become (platonic) besties but I can’t recall which royals those were, and I think more often than not these sorts of arrangements didn’t end super well for anyone. I might have to look into that story to see if any if it would apply in this scenario (my hunch is no, or only with a very specific playthrough…I don’t see Evangeline and Nora getting along in most scenarios tbh, they have pretty different values).
That, however, won’t be for some time yet. I have a huuuuuuge list of things I gotta get to before then 
Hope that helps, and hope it’s not too disappointing!